66 Pages Posted: 20 Nov 2010
Date Written: November 19, 2010
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.
Keywords: MIDAS Regressions, Macro Forecasting, Leads, Daily Financial Information, Daily Factors
JEL Classification: C22, C53, G10
Suggested Citation: 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: https://ssrn.com/abstract=1711899 or http://dx.doi.org/10.2139/ssrn.1711899