Asia | China | Emerging Markets
A New Real-Time Tool for Tracking China Growth
- By Sam van de Schootbrugge
- 7 min read
Summary
- A new Journal of Economic Modelling paper develops a real-time monitoring system of macroeconomic prosperity, which it applies to China.
- Feeding into the system are a set of common low-frequency indicators, such as freight volume, GDP and inflation, as well as higher-frequency internet search data.
- This mixed-frequency model can predict, identify and evaluate intra-month changes in economic cycles. But it remains highly correlated to existing macroeconomic monitoring systems.
Introduction
Investors, researchers and policymakers have an insatiable appetite for high-frequency macroeconomic data. It can provide more timely interventions, more profitable trading strategies, and richer economic analyses. The problem, however, is that such data is fraught with issues, such as volatility, irregular periodicities, outliers and more.
To minimise these issues while still maximising the benefits of more timely data, a new Journal of Economic Modelling paper combines both high- and low-frequency variables in the same system. And, in the context of China, the authors show that this mixed frequency model can do a better job of real-time monitoring and forecasting than more traditional lower-frequency indices, like the CEMAC published by NBS.
This article is only available to Macro Hive subscribers. Sign-up to receive world-class macro analysis with a daily curated newsletter, podcast, original content from award-winning researchers, cross market strategy, equity insights, trade ideas, crypto flow frameworks, academic paper summaries, explanation and analysis of market-moving events, community investor chat room, and more.