RenCap-NES Leading GDP Indicator

ENG / RUS

New Economic School and Renaissance Capital present the RenCap-NES Leading GDP Indicator.

The main idea behind the index is that real GDP growth represents a good summary measure of economic activity. Most people typically look at GDP dynamics in order to judge a country's economic health and the phases of the business cycle. Investors and government officials make their decisions depending on what they expect the economic situation will be in the short and medium term.

However, GDP data are published with a considerable delay (the first official release is published 1.5 months after the end of the reference quarter). The bulk of information is available sooner than the GDP via manifold economic indicators but each of these time series represents only one aspect of economic activity. Our model seeks to bring all of this information together and delivers one number, which serves as the most accurate forecast of GDP.

Our methodology is based on the same approach as the US Federal Reserve and the European Central Bank adopted to construct similar indices. Moreover, our methodology relies on relatively recent advances in modern time-series econometrics.

We forecast a quarter of GDP growth as soon as monthly releases of Rosstat and Russian Economic Barometer survey data are published. Forecasts for the later months of a quarter can be viewed as an updated forecast for earlier months of the same quarter since the arrival of a new piece of monthly data provides a natural occasion to revise the GDP growth forecast. Each month (with the exception of the third month of a quarter when we publish the next quarter's GDP forecast only) we produce two figures: the nowcast of GDP growth in the current quarter, and our forecast of the next quarter's GDP.

Our forecasts	To prev. year	QoQ	QoQ, s/a	Annualized
4Q11 (vintage 5)	2.5%	5.5%	0.8%	3.2%
4Q11 (actual)	4.8%	7.6%	1.8%	7.5%
1Q12 (vintage 5)	3.1%	-20.6%	1.6%	6.6%
2Q12 (vintage 3)	6.5%	11.3%	1.0%	4.1%
2Q12 (vintage 2)	4.3%	11.5%	1.1%	4.5%

Research Reports

Russia: RenCap-NES Macro Monitor May 16, 2012
Russia: RenCap-NES Macro Monitor April 13, 2012
Russia: RenCap-NES Macro Monitor March 19, 2012
Russia: RenCap-NES Macro Monitor February 14, 2012
Russia: RenCap-NES Macro Monitor January 18, 2012
Russia: RenCap-NES Macro Monitor December 14, 2011
Russia: RenCap-NES Macro Monitor November 15, 2011
Russia: RenCap-NES Macro Monitor October 14, 2011
Russia: RenCap-NES Macro Monitor September 9, 2011
Russia: RenCap-NES Macro Monitor August 16, 2011
Russia: RenCap-NES Macro Monitor July 15, 2011
Russia: RenCap-NES Macro Monitor June 15, 2011
Russia: RenCap-NES Macro Monitor May 12, 2011
Russia: RenCap-NES Macro Monitor April 8, 2011
Russia: RenCap-NES Macro Monitor March 10, 2011
Russia: RenCap-NES Macro Monitor February 14, 2011
Russia: RenCap-NES Macro Monitor January 14, 2011
Russia: RenCap-NES Macro Monitor December 9, 2010
Russia: RenCap-NES Leading GDP Indicator – Is a growth spurt in store for 2011? November 10, 2010
Russia: RenCap-NES Leading GDP Indicator – Latest estimates confirm weaker 2H October 11, 2010
Russia: RenCap-NES Leading GDP Indicator - 3Q-4Q10: Economic recovery to slow further September 10, 2010
Russia: RenCap-NES Leading GDP Indicator - 3Q10: Uncertainty slows recovery? August 10, 2010
Russia: RenCap-NES Leading GDP Indicator – 3Q10: Government to the rescue July 12, 2010
Russia: RenCap-NES Leading GDP Indicator – 2Q-3Q10: Recovery seems unstable June 10, 2010
Russia: RenCap-NES Leading GDP Indicator – 2Q-3Q10: Signs of a broadening recovery May 11, 2010
Russia: RenCap-NES Leading GDP Indicator – 2Q10 – Hope returns April 12, 2010
Russia: RenCap-NES Leading GDP Indicator - 1Q growth stellar, but 2Q looks murkier March 10, 2010
Russia: RenCap-NES Leading GDP Indicator February 10, 2010
Russia: RenCap-NES leading GDP indicator January 11, 2010
Russia: RenCap-NES Leading GDP Indicator - Forecasts – better and earlier December 11, 2009

GDP growth, YoY

Seasonally adjusted GDP growth, QoQ

Undjusted GDP growth, QoQ