| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15451 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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