Should Macroeconomic Forecasters Use Daily Financial Data and How?

Elena Andreou, Eric Ghysels and Andros Kourtellos ()

Journal of Business & Economic Statistics, 2013, vol. 31, issue 2, 240-251

Abstract: We introduce easy-to-implement, regression-based methods for predicting quarterly real economic activity that use daily financial data and rely on forecast combinations of mixed data sampling (MIDAS) regressions. We also extract a novel small set of daily financial factors from a large panel of about 1000 daily financial assets. Our analysis is designed to elucidate the value of daily financial information and provide real-time forecast updates of the current (nowcasting) and future quarters of real GDP growth.

Date: 2013
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Citations: View citations in EconPapers (216)

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Related works:
Working Paper: Should macroeconomic forecasters use daily financial data and how? (2012)
Working Paper: Should Macroeconomic Forecasters Use Daily Financial Data and How? (2010)
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DOI: 10.1080/07350015.2013.767199

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