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dc.contributor.authorRavazzolo, Francesco
dc.contributor.authorVespignani, Joaquin L.
dc.date.accessioned2018-04-25T09:59:35Z
dc.date.available2018-04-25T09:59:35Z
dc.date.issued2015
dc.identifier.isbn978-82-7553-861-9
dc.identifier.issn1502-8143
dc.identifier.urihttp://hdl.handle.net/11250/2495868
dc.description.abstractIn modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely the Kilian's index of global real economic activity and the index of OECD World industrial production. We develop an econometric approach based on desirable econometric properties in relation to the quarterly measure of World or global gross domestic product to evaluate and to choose across different alternatives. The method is designed to evaluate short-term, long-term and predictability properties of the indicators. World steel production is proven to be the best monthly indicator of global economic activity in terms of our econometric properties. Kilian's index of global real economic activity also accurately predicts World GDP growth rates. When extending the analysis to an out-of-sample exercise, both Kilian's index of global real economic activity and the World steel production produce accurate forecasts for World GDP, confirming evidence provided by the econometric properties. Specifically, a forecast combination of the three indices produces statistically significant gains up to 40% at nowcast and more than 10% at longer horizons relative to an autoregressive benchmark.nb_NO
dc.language.isoengnb_NO
dc.publisherNorges Banknb_NO
dc.relation.ispartofseriesWorking Papers;6/2015
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/deed.no*
dc.subjectJEL: E1nb_NO
dc.subjectJEL: E3nb_NO
dc.subjectJEL: C1nb_NO
dc.subjectJEL: C5nb_NO
dc.subjectJEL: C8nb_NO
dc.subjectglobal real economic activitynb_NO
dc.subjectworld steel productionnb_NO
dc.subjectforecastingnb_NO
dc.titleA New Monthly Indicator of Global Real Economic Activitynb_NO
dc.typeWorking papernb_NO
dc.description.versionpublishedVersionnb_NO
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210::Samfunnsøkonomi: 212nb_NO
dc.source.pagenumber38nb_NO


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Attribution-NonCommercial-NoDerivatives 4.0 Internasjonal
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