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Predictive power of confidence indicators for the Russian economy

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  • Korte, Niko

Abstract

This study examines the forecasting power of confidence indicators for the Russian econ-omy. ARX models are fitted to the six confidence or composite indicators, which were then compared to a simple benchmark AR-model. The study used the output of the five main branches as the reference series. Empirical evidence suggests that confidence indica-tors do have forecasting power. The power is strongly influenced by the way which the in-dicator is constructed from the component series. The HSBC Purchasing Managers' Index (PMI), the OECD Composite Leading Indicator (CLI) and the OECD Business Confidence Indicator (BCI) were the best performers in terms of both the information criterion and forecasting accuracy.

Suggested Citation

  • Korte, Niko, 2012. "Predictive power of confidence indicators for the Russian economy," BOFIT Discussion Papers 15/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
    • Handle: RePEc:zbw:bofitp:bdp2012_015
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    References listed on IDEAS

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    1. Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521634809, September.
    2. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
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    More about this item

    Keywords

    confidence indicators; forecasting; Russia;
    All these keywords.

    JEL classification:

    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • P27 - Political Economy and Comparative Economic Systems - - Socialist and Transition Economies - - - Performance and Prospects

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