Abstract

http://ssrn.com/abstract=1711899
 
 

References (102)



 
 

Citations (5)



 


 



Should Macroeconomic Forecasters Use Daily Financial Data and How?


Elena Andreou


University of Cyprus - Department of Economics

Eric Ghysels


University of North Carolina Kenan-Flagler Business School; University of North Carolina (UNC) at Chapel Hill - Department of Economics

Andros Kourtellos


University of Cyprus - Department of Economics; University of Bologna - Rimini Center for Economic Analysis (RCEA)

November 19, 2010


Abstract:     
We introduce easy to implement regression-based methods for predicting quarterly real economic activity that use daily financial data. Our analysis is designed to elucidate the value of daily information and provide real-time forecast updates of the current (nowcasting) and future quarters. Our findings show that while on average the predictive ability of all models worsens substantially following the financial crisis, the models we propose suffer relatively less losses. Moreover, these predictive gains are primarily driven by the asset classes of government securities, equities, and especially corporate risk.

Number of Pages in PDF File: 66

Keywords: MIDAS Regressions, Macro Forecasting, Leads, Daily Financial Information, Daily Factors

JEL Classification: C22, C53, G10

working papers series


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Date posted: November 20, 2010  

Suggested Citation

Andreou, Elena and Ghysels, Eric and Kourtellos, Andros, Should Macroeconomic Forecasters Use Daily Financial Data and How? (November 19, 2010). Available at SSRN: http://ssrn.com/abstract=1711899 or http://dx.doi.org/10.2139/ssrn.1711899

Contact Information

Elena Andreou
University of Cyprus - Department of Economics ( email )
75 Kallipoleos Street
P.O. Box 20537
1678 Nicosia
Cyprus
+357 2 892449 (Phone)
+357 2 892432 (Fax)
Eric Ghysels (Contact Author)
University of North Carolina Kenan-Flagler Business School ( email )
Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )
Gardner Hall, CB 3305
Chapel Hill, NC 27599
United States
919-966-5325 (Phone)
919-966-4986 (Fax)
HOME PAGE: http://www.unc.edu/~eghysels/
Andros Kourtellos
University of Cyprus - Department of Economics ( email )
75 Kallipoleos Street
P.O. Box 20537
1678 Nicosia
Cyprus
University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )
Via Patara, 3
Rimini (RN), RN 47900
Italy
Feedback to SSRN


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