Predicting changes in the output of OECD countries: An international network perspective

Štefan Lyócsa

MPRA Paper from University Library of Munich, Germany

Abstract: We use a simple linear regression framework to present evidence, that complex relationships between stock markets and economies may be used to predict changes in the output of 27 OECD countries. We construct new unidirectional return co-exceedance networks to account for complex relationships between stock market returns, and between real economic growths. Although there is heterogeneity between individual country level results, overall our data and analysis provides evidence that topological properties of our networks are useful for in-sample prediction of next quarter changes in the output.

Keywords: harmonic; centrality; centralization; networks; co-exceedance; economic; growth (search for similar items in EconPapers)
JEL-codes: E44 G15 O40 (search for similar items in EconPapers)
Date: 2015-07-27
New Economics Papers: this item is included in nep-for, nep-mac and nep-net
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/65774/1/MPRA_paper_65774.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:65774

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().