Arbeitspapier
Daily tracker of global economic activity: A close-up of the COVID-19 pandemic
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.
- ISBN
-
978-92-899-4451-9
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2505
- Klassifikation
-
Wirtschaft
International Business Cycles
Financial Forecasting and Simulation
Commodity Markets
- Thema
-
Global Economic Activity
Commodity Prices
Factor Models
Variable Selection
Genetic Algorithm
Leading Indicators
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Diaz, Elena
Pérez-Quirós, Gabriel
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2020
- DOI
-
doi:10.2866/961578
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Diaz, Elena
- Pérez-Quirós, Gabriel
- European Central Bank (ECB)
Entstanden
- 2020
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