English, Article, Journal or magazine article edition: Financial Variables as Predictors of Real Output Growth Anthony Tay

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Bookmark: http://trove.nla.gov.au/version/40311
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Financial Variables as Predictors of Real Output Growth
Author
  • Anthony Tay
Physical Description
  • preprint
Notes
  • We investigate two methods for using daily stock returns to forecast, and update forecasts of, quarterly real output growth. Both methods aggregate daily returns in some manner to form a single stock market variable. We consider (i) augmenting the quarterly AR(1) model for real output growth with daily returns using a nonparametric Mixed Data Sampling (MIDAS) setting, and (ii) augmenting the quarterly AR(1) model with the most recent r -day returns as an additional predictor. We discover that adding low frequency stock returns (up to annual returns, depending on forecast horizon) to a quarterly AR(1) model improves forecasts of output growth
  • Forecasting, Mixed Frequencies, Functional linear regression
  • RePEc:siu:wpaper:14-2007
Language
  • English
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