The Global Economic Barometers: Composite indicators for the world economy
OPEN ACCESS
Loading...
Author / Producer
Date
2020-02
Publication Type
Working Paper
ETH Bibliography
yes
Citations
Altmetric
OPEN ACCESS
Data
Rights / License
Abstract
This paper presents a coincident and a leading composite monthly indicator for the world business cycle − the Global Economic Barometers. Both target the world’s output growth rate cycle. The calculation of these indicators comprises two main stages. The first consists of a variable selection procedure, in which a pre-set correlation threshold and the targeted leads to a reference series are used as selection criteria. In the second stage, the selected variables are combined and transformed into the respective composite indicators, computed as the first partial least squares factor with the reference series as response variable. In the last vintage referred to in this paper (December 2018), out of 6605 transformations from 1681 variables tested in the first stage, 1275 are selected to enter into the coincident and 1228 into the leading composite indicator. We analyse the characteristics of the two new indicators in a pseudo real-time setting and demonstrate that both are useful additions to the small number of indicators for the global business cycle published so far.
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
471
Pages / Article No.
Publisher
KOF Swiss Economic Institute, ETH Zurich
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
business cycle; Growth rate cycles; composite indicators; leading indicators; coincident indicators; partial least squares; real-time simulations
Organisational unit
06330 - KOF FB Konjunktur / KOF Macroeconomic forecasting
02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
03716 - Sturm, Jan-Egbert / Sturm, Jan-Egbert