Pas disponible en français
Elena Maria Diaz
- 17 December 2020
- WORKING PAPER SERIES - No. 2505Details
- Abstract
- 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 a portfolio. Finally, the GEA Tracker allows us to present the daily evolution of global economic activity during the COVID-19 pandemic.
- JEL Code
- F44 : International Economics→Macroeconomic Aspects of International Trade and Finance→International Business Cycles
G17 : Financial Economics→General Financial Markets→Financial Forecasting and Simulation
Q02 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→General→Global Commodity Markets