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A Note On Uncertainty Due To Infectious Diseases And Output Growth Of The United States: A Mixed-Frequency Forecasting Experiment

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  • AFEES A. SALISU

    (Centre for Econometric & Allied Research, University of Ibadan, Ibadan, Nigeria†Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa)

  • RANGAN GUPTA

    (��Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa)

  • RIZA DEMIRER

    (��Department of Economics and Finance, Southern Illinois University Edwardsville, Edwardsville, IL 62026-1102, USA)

Abstract

Utilizing a mixed data sampling (MIDAS) approach, we show that a daily newspaper-based index of uncertainty associated with infectious diseases can be used to predict, both in- and out-of-samples, low-frequency movements of output growth for the United States (US). The predictability of monthly industrial production growth and quarterly real Gross Domestic Product (GDP) growth during the current period of heightened economic uncertainty due to the COVID-19 pandemic is likely to be of tremendous value to policymakers.

Suggested Citation

  • Afees A. Salisu & Rangan Gupta & Riza Demirer, 2022. "A Note On Uncertainty Due To Infectious Diseases And Output Growth Of The United States: A Mixed-Frequency Forecasting Experiment," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 1-9, June.
    • Handle: RePEc:wsi:afexxx:v:17:y:2022:i:02:n:s2010495222500099
    DOI: 10.1142/S2010495222500099
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    Cited by:

    1. Gupta, Rangan & Sheng, Xin & Balcilar, Mehmet & Ji, Qiang, 2021. "Time-varying impact of pandemics on global output growth," Finance Research Letters, Elsevier, vol. 41(C).

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    More about this item

    Keywords

    Infectious diseases related uncertainty; output growth; forecast; mixed-frequency;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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