Taking the Temperature - Forecasting GDP Growth for Mainland China

Quantitative Macroeconomics Working Papers from Hamburg University, Department of Economics

Abstract: We present a new composite leading indicator of economic activity in mainland China, estimated using a dynamic factor model. Our leading indicator is constructed from three series: exports, a real estate climate index, and the Shanghai Stock Exchange index. These series are found to share a common, unobservable element from which our indicator can be identified. This indicator is then incorporated into out-of-sample one-step-ahead forecasts of Chinese GDP growth. Recursive out-of-sample accuracy tests indicate that the small scale factor model approach leads to successful representation of the sample data and provides an appropriate tool for forecasting Chinese business conditions.

Keywords: Forecasting; China; Leading Indicator; Factor Model; Growth Cycles (search for similar items in EconPapers)
JEL-codes: C32 C52 E32 E37 (search for similar items in EconPapers)
Date: 2006-06
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Citations: View citations in EconPapers (4)

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Working Paper: Taking the temperature: forecasting GDP growth for mainland in China (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:ham:qmwops:20606

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