Daily tracker of global economic activity: a close-up of the COVID-19 pandemic

Elena Maria Diaz and Gabriel Perez Quiros

No 2505, Working Paper Series from European Central Bank

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 Classification: F44, G17, Q02

Keywords: commodity prices; factor models; genetic algorithm; global economic activity; leading indicators; variable selection (search for similar items in EconPapers)
Date: 2020-12
New Economics Papers: this item is included in nep-cmp
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Related works:
Working Paper: Daily Tracker of Global Economic Activity. A Close-Up of the Covid-19 Pandemic (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20202505

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