Resumen:
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.
Palabras Clave: Global economic activity; Commodity prices; Factor models; Variable selection; Genetic algorithm; Leading indicators
Índice de impacto JCR y cuartil WoS: 2,762 - Q2 (2021); 2,500 - Q3 (2022)
Referencia DOI:
https://doi.org/10.1016/j.jimonfin.2021.102400
Publicado en papel: Julio 2021.
Publicado on-line: Abril 2021.
Cita:
E. Diaz-Aguiluz, G. Pérez-Quiros, GEA tracker: a daily indicator of global economic activity. Journal of International Money and Finance. Vol. 115, Julio 2021. [Online: Abril 2021]
