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New Evidence on the Information and Predictive Content of the Baltic Dry Index

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  • Nicholas Apergis

    ()
    (Department of Banking and Financial Management, University of Piraeus, 80 Karaoli & Dimitriou, Piraeus 18534, Greece)

  • James E. Payne

    ()
    (Department of Economics and Finance, University of New Orleans, 2000 Lakeshore Drive, New Orleans, LA 70148, USA)

Abstract

This empirical study analyzes the information and predictive content of the Baltic Dry Index (BDI) with respect to a range of financial assets and the macroeconomy. By using panel methodological approaches and daily data spanning the period 1985–2012, the empirical analysis documents the joint predictability capacity of the BDI for both financial assets and industrial production. The results reveal the role of the BDI in predicting the future course of the real economy, yielding a link between financial asset markets and the macroeconomy.

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Bibliographic Info

Article provided by MDPI, Open Access Journal in its journal International Journal of Financial Studies.

Volume (Year): 1 (2013)
Issue (Month): 3 (July)
Pages: 62-80

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Handle: RePEc:gam:jijfss:v:1:y:2013:i:3:p:62-80:d:27458

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Related research

Keywords: Baltic Dry Index; asset markets; macroeconomy; panel data;

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