Improving the Short-Term Forecast of World Trade During the Covid-19 Pandemic Using Swift Data on Letters of Credit |
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Author:
| Carton, Benjamin Hu, Nan Mongardini, Joannes Moriya, Kei Radzikowski, Aneta |
Series title: | IMF Working Papers |
ISBN: | 978-1-5135-6288-9 |
Publication Date: | Nov 2020 |
Publisher: | International Monetary Fund
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Book Format: | Ebook |
List Price: | USD $9.00 |
Book Description:
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An essential element of the work of the Fund is to monitor and forecast international trade. This paper uses SWIFT messages on letters of credit, together with crude oil prices and new export orders of manufacturing Purchasing Managers' Index (PMI), to improve the short-term forecast of international trade. A horse race between linear regressions and machine-learning algorithms for the world and 40 large economies shows that forecasts based on linear regressions often outperform those...
More DescriptionAn essential element of the work of the Fund is to monitor and forecast international trade. This paper uses SWIFT messages on letters of credit, together with crude oil prices and new export orders of manufacturing Purchasing Managers' Index (PMI), to improve the short-term forecast of international trade. A horse race between linear regressions and machine-learning algorithms for the world and 40 large economies shows that forecasts based on linear regressions often outperform those based on machine-learning algorithms, confirming the linear relationship between trade and its financing through letters of credit.