G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15451
DP15451 Daily Tracker of Global Economic Activity. A Close-Up of the Covid-19 Pandemic
Gabriel Pérez-Quirós; Elena Diaz
发表日期2020-11-14
出版年2020
语种英语
摘要This paper develops a novel indicator of global economic activity, the GEA Tracker, which is based on commodity prices selected recursively through a genetic algorithm. The GEA Tracker allows for daily real-time knowledge of international business conditions using a minimum amount of information. We find that the GEA Tracker outperforms its competitors in forecasting stock returns, especially in emerging markets, and in predicting standard indicators of international business conditions. We show that an investor would have inexorably profited from using the forecasts provided by the GEA Tracker to weight his/her portfolio. Finally, the GEA Tracker allows us to present the daily evolution of global economic activity during the COVID-19 pandemic.
主题Monetary Economics and Fluctuations
关键词Global economic activity Commodity prices Factor models Genetic algorithm
URLhttps://cepr.org/publications/dp15451
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/544447
推荐引用方式
GB/T 7714
Gabriel Pérez-Quirós,Elena Diaz. DP15451 Daily Tracker of Global Economic Activity. A Close-Up of the Covid-19 Pandemic. 2020.
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