GEA tracker: A daily indicator of global economic activity

Elena Maria Diaz and Gabriel Perez-Quiros
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

Journal of International Money and Finance, 2021, vol. 115, issue C

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.

Keywords: Global economic activity; Commodity prices; Factor models; Variable selection; Genetic algorithm; Leading indicators (search for similar items in EconPapers)
JEL-codes: F44 G17 Q02 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:115:y:2021:i:c:s0261560621000498

DOI: 10.1016/j.jimonfin.2021.102400

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