Template-type: ReDIF-Paper 1.0
Author-Name: Dr. Sandra Hanslin Grossmann
Author-Name-First: Sandra
Author-Name-Last: Hanslin Grossmann
Author-Person: pha748
Author-Name: Dr. Rolf Scheufele
Author-Name-First: Rolf
Author-Name-Last: Scheufele
Author-Person: psc357
Title: Foreign PMIs: A reliable indicator for exports?
Abstract: Foreign economic activity is a major determinant of export development. This paper presents an indicator for now- and forecasting exports, which is based on survey data that captures foreign economic perspectives. We construct an indicator by weighting foreign PMIs of main trading partners with their respective export shares. For two very trade exposed countries (Germany and Switzerland) the paper shows that the indicator based on foreign PMIs is strongly correlated with exports (total as well as goods exports). In an out-of-sample forecast comparison we employ MIDAS models to forecast the two different definitions of exports. We document that our export indicator performs very well relative to univariate benchmarks and relative to other major leading indicators using hard and soft data.
Length: 27 pages
Creation-Date: 2016
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2016/working_paper_2016_01
File-Format: text/html
Number: 2016-01
Classification-JEL: F14, F17, C53
Keywords: Business tendency surveys, mixed frequencies, nowcasting, forecasting, MIDAS, exports
Handle: RePEc:snb:snbwpa:2016-01