Dissecting the Purchasing Managers’ Index: Are All Relevant Components Included? Are All Included Components Relevant?

Abstract

In this paper we scrutinise the composition of one of the most renowned economic indicators that is regularly released for more than 30 countries and regions. The composite Purchasing Managers’ Index (PMI) is constructed by pooling several survey based sub-components with certain fixed weights. Its characteristic feature is that its computation is based on the standardised methodology by that was developed for the PMI in the US more than thirty years ago. Though the uniform methodology makes the international comparison of national PMIs an easy and transparent task, it is not immediately clear whether the current fixed weighting scheme of the PMI components is supported by the data for other countries than US. We address this question using Switzerland as an example and our approach, based on Boriss Siliverstovs (2017), can be easily extended to other national PMIs. We find that the relative weights of the PMI components are generally supported by the data, except the fact that one component, found very informative for explaining GDP growth, is currently omitted from the PMI composition.

Key words: PMI, MIDAS, LASSO, Real-time data, Switzerland. 
JEL: C22, C53.

Proučavanje indeksa menadžera nabavki: Da li su sve relevantne komponente uključene? Da li su sve uključene komponente relevantne?

Rezime: U ovom radu razmatramo sastav jednog od najpoznatijih ekonomskih pokazatelja koji se redovno objavljuje za više od 30 zemalja i regiona. Složeni indeks menadžera nabavki (PMI) konstruisan je grupisanjem nekoliko podkomponenti baziranih na raznim istraživanjima sa određenim fiksnim ponderima. Njegova karakteristična osobina je da se njegovo izračunavanje zasniva na standardizovanoj metodologiji koja je razvijena za PMI u SAD pre više od trideset godina. Iako jedinstvena metodologija čini međunarodno upoređivanje nacionalnih PMI-a lakim i transparentnim zadatkom, nije odmah jasno da li trenutnu šemu fiksnih pondera podržavaju podaci drugih zemalja osim SAD. Ovim pitanjem se bavimo primenom Švajcarske kao primera i naš pristup, zasnovan na Boriss Siliverstovs (2017), može se lako proširiti na druge nacionalne PMI. Smatramo da relativne pondere PMI komponenti generalno podržavaju podaci, osim činjenice da je jedna komponenta, koja je veoma informativna za objašnjenje rasta BDP-a, trenutno izostavljena iz sastava PMI.

Ključne reči: PMI, MIDAS, LASSO, podaci u realnom vremenu, Švajcarska.