The Analysis of Manufacturing PMI Potential Trends of the US, EU, Japan and China

Abstract

In this paper we establish state space equation and combine it with KALMAN filter algorithm to extract potential signal trends of the manufacturing PMI of the US, EU, Japan and China, furthermore doing time difference correlation analysis and T-test between the potential signals. Empirical analysis shows that Chinese manufacturing PMI takes precedence over the other three economic bodies by one month; potential signal development trends of manufacturing PMI of the US, EU and China are approximately same; however there is a significan difference between the potential signal trends of manufacturing PMI of the US and Japan.