Nowcasting the nowcasting : Forecasting ISM Business surveys (PMI and NSI) with weekly Google trends
Heikkinen, J., & Heimonen, K. (2023). Nowcasting the nowcasting : Forecasting ISM Business surveys (PMI and NSI) with weekly Google trends. Applied Economics, Early online. https://doi.org/10.1080/00036846.2023.2273235
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Applied EconomicsDate
2023Discipline
Päätöksentekoa tukeva taloustiede ja talouden kilpailukyky (painoala)Jyväskylä International Macro & FinanceHyvinvoinnin tutkimuksen yhteisöTaloustiedePolicy-Relevant Economics and Competitiveness of Economy (focus area)Jyväskylä International Macro & FinanceSchool of WellbeingEconomicsCopyright
© 2023 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group
Changes in economic conditions can occur suddenly with drastic effects. However, economic statistics are published with significant lags, e.g. GDP, and more timely information about the economy is required. Nowcasting methods have become widely popular for providing up-to-date information about the current economic stance. This study adds a novel idea to the previous literature by nowcasting the nowcasting, i.e. the purchasing manager’s index (PMI) and the non-manufacturing survey index (NSI) of the ISM Business survey indicators with the weekly Google Trends data. We used two-dimension reduction methods: the principal component analysis (PCA) and partial least squares (PLS) to eliminate ‘the curse of dimensionality’. Pseudo-out-of-sample exercises performed with different Google Trends search categories indicated that Google Search data is able to generate useful information to nowcast the nowcasting. In particular, we contribute the existing literature that weekly Google Search data can nowcast the monthly PMI and NSI.
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https://converis.jyu.fi/converis/portal/detail/Publication/194457999
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This work was supported by the Jenny ja Antti Wihurin Rahasto; Jyväskylän Yliopisto; OP Group Research foundation; Yrjö Jahnssonin Säätiö.License
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