A New Monthly Indicator of Global Real Economic Activity

摘要

In modelling macroeconomic time series, often a monthly indicator of global real economicactivity is used. We propose a new indicator, named World steel production, and compare itto other existing indicators, precisely the Kilian’s index of global real economic activity andthe index of OECD World industrial production. We develop an econometric approach basedon desirable econometric properties in relation to the quarterly measure of World or globalgross domestic product to evaluate and to choose across different alternatives. The method isdesigned 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 activityin terms of our econometric properties. Kilian’s index of global real economic activity alsoaccurately predicts World GDP growth rates. When extending the analysis to an out-ofsampleexercise, both Kilian’s index of global real economic activity and the World steelproduction produce accurate forecasts for World GDP, confirming evidence provided by theeconometric properties. Specifically, a forecast combination of the three indices producesstatistically significant gains up to 40% at nowcast and more than 10% at longer horizonsrelative to an autoregressive benchmark.