Should Macroeconomic Forecasters Use Daily Financial Data and How?
Date
2013Source
Journal of Business and Economic StatisticsVolume
31Pages
240-251Google Scholar check
Keyword(s):
Metadata
Show full item recordAbstract
We introduce easy-to-implement, regression-based methods for predicting quarterly real economic activity that use daily financial data and rely on forecast combinations of mixed data sampling (MIDAS) regressions. We also extract a novel small set of daily financial factors from a large panel of about 1000 daily financial assets. Our analysis is designed to elucidate the value of daily financial information and provide real-time forecast updates of the current (nowcasting) and future quarters of real GDP growth. © 2013 Copyright Taylor and Francis Group, LLC.