Daily Tracker of Global Economic Activity. A Close-Up of the Covid-19 Pandemic

Pérez-Quirós, Gabriel and Elena Diaz
Authors registered in the RePEc Author Service: Gabriel Perez Quiros

No 15451, CEPR Discussion Papers from Centre for Economic Policy Research

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 his/her 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; Genetic algorithm (search for similar items in EconPapers)
JEL-codes: F44 G17 Q02 (search for similar items in EconPapers)
Date: 2020-11
New Economics Papers: this item is included in nep-cmp
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Working Paper: Daily tracker of global economic activity: a close-up of the COVID-19 pandemic (2020)
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