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RenCap-NES Leading GDP Indicator

Our forecasts as of 25 June 2014 (seasonally adjusted):

  To prev. quarter To prev. year
4Q09 2.3% -2.4%
4Q09 (act) 0.8% -3.8%
1Q10 3.6% 7.0%
1Q10 (act) 0.1% 2.9%
2Q10 1.4% 5.3%
2Q10 (act) 1.4% 5.2%
3Q10 0.8% 3.0%
3Q10 (act) 0.6% 3.1%
4Q10 1.4% 3.2%
4Q10 (act) 3.2% 4.5%
1Q11 2.7% 5.8%
1Q11 (act) 1.0% 4.1%
2Q11 1.0% 5.0%
2Q11 (act) -0.1% 3.4%
3Q11 0.5%  4.5%
3Q11 (act.) 0.7% 4.8%
4Q11  0.8% 2.5%
4Q11 (act.)  1.8% 4.8%
FY11   3.7%
FY11 (act.)   4.3%
1Q12 1.6% 3.1%
1Q12 (act.) 1.0% 4.9%
2Q12 0.0% 4.4%
2Q12 (act.) 0.1% 4.0%
1H12   3.8%
3Q12 0.9% 2.8%
3Q12 (act.) 0.8% 2.9%
4Q12  1.3% 2.2%
FY12 (act.)   3.4%
1Q13 -0.1% 1.4%
1Q13 (act.) 0.3% 1.6%
2Q13 0.6% 2.2%
1H13   1.8%
3Q13 0.8% 1.4%
4Q13 0.1% 1.8%
FY13   1.6%
1Q14 -1.1% -0.1%
2Q14 -0.1% 0.7%
3Q14 1.4% 1.5%

Renaissance Capital

Forecast releases:

Time series since 2002:

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

The goal of the indicator is to measure the current stance of economic activity in Russia. Such index is needed because the official statistics on the Gross Domestic Product (GDP) are traditionally released with a long lag, while for many investors and government officials it is important to know what is happening in the economy at each moment. A great deal of information is available sooner than the GDP, but this information is disaggregated into many time series, each of them showing only one aspect of economic activity. The presented indicator brings all of this information together and delivers one number, which serves as the best “nowcast” of the GDP.

Each month, we present two figures: the nowcast of the GDP growth in the current quarter, and the forecast of the next quarter’s GDP. Both of these figures are presented with and without seasonal adjustment.

The indicator is calculated based on the cutting-edge academic research in time-series econometrics, and is similar to analogous indices estimated for the US and the Euro area. The methodology is described in the technical report, but the general idea is to use a dynamic factor model of the economy. It is assumed that all of the indicators in the economy, including the GDP itself, are driven by a small number of factors, and these factors can be extracted from the data released on a monthly basis prior to GDP releases. We use over 100 time series describing the Russian economy to identify the common factors, and then predict the current and next quarter’s growth of the economy based on these factors.

The first index release: December 2009

Background information:

Links to similar indices for other countries:

Contact: Konstantin Styrin, KStyrin (at) nes <dot> ru


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