BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
No 15/2012:
Predictive power of confidence indicators for the Russian economy
Niko Korte ()
Abstract: This study examines the forecasting power of confidence
indicators for the Russian economy. 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
indicators do have forecasting power. The power is strongly influenced by
the way which the indicator 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.
Keywords: confidence indicators; forecasting; Russia; (follow links to similar papers)
JEL-Codes: E37; P27; (follow links to similar papers)
42 pages, July 12, 2012
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