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dc.contributor.author
Mikosch, Heiner
dc.contributor.author
Solanko, Laura
dc.date.accessioned
2018-01-18T13:10:52Z
dc.date.available
2018-01-18T12:59:16Z
dc.date.available
2018-01-18T13:10:52Z
dc.date.issued
2018-01
dc.identifier.uri
http://hdl.handle.net/20.500.11850/230784
dc.identifier.doi
10.3929/ethz-b-000230784
dc.description.abstract
GDP forecasters face tough choices over which leading indicators to follow and which forecasting models to use. To help resolve these issues, we examine a range of monthly indicators to forecast quarterly GDP growth in a major emerging economy, Russia. Numerous useful indicators are identified and forecast pooling of three model classes (bridge models, MIDAS models and unrestricted mixed-frequency models) are shown to outperform simple benchmark models. We further separately examine forecast accuracy of each of the three model classes. Our results show that differences in performance of model classes are generally small, but for the period covering the Great Recession unrestricted mixed-frequency models and MIDAS models clearly outperform bridge models. Notably, the sets of top-performing indicators differ for our two subsample observation periods (2008Q1–2011Q4 and 2012Q1–2016Q4). The best indicators in the first period are traditional real-sector variables, while those in the second period consist largely of monetary, banking sector and financial market variables. This finding supports the notion that highly volatile periods of recession and subsequent recovery are driven by forces other than those that prevail in more normal times. The results further suggest that the driving forces of the Russian economy have changed since the global financial crisis.
en_US
dc.language.iso
en
en_US
dc.publisher
KOF Swiss Economic Institute, ETH Zurich
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Forecasting
en_US
dc.subject
mixed frequency data
en_US
dc.subject
Russia
en_US
dc.subject
GDP growth
en_US
dc.title
Should one follow movements in the oil price or in money supply? Forecasting quarterly GDP growth in Russia with higher-frequency indicators
en_US
dc.type
Working Paper
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.journal.title
KOF Working Papers
ethz.journal.volume
438
en_US
ethz.size
39 p.
en_US
ethz.code.jel
C5 - Econometric Modeling::C53 - Forecasting and Prediction Methods; Simulation Methods
en_US
ethz.code.jel
E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy::E27 - Forecasting and Simulation: Models and Applications
en_US
ethz.publication.place
Zurich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute::06330 - KOF FB Konjunktur / KOF Macroeconomic forecasting
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute::06330 - KOF FB Konjunktur / KOF Macroeconomic forecasting
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
ethz.relation.isNewVersionOf
handle/20.500.11850/229051
ethz.date.deposited
2018-01-18T12:59:17Z
ethz.source
FORM
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2018-01-18T13:10:56Z
ethz.rosetta.lastUpdated
2019-02-02T14:09:38Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
ethz.COinS
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