Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession
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- Laurent Ferrara & Cl�ment Marsilli, 2013. "Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession," Applied Economics Letters, Taylor & Francis Journals, vol. 20(3), pages 233-237, February.
- Laurent Ferrara & Clément Marsilli, 2013. "Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession," Post-Print hal-01385844, HAL.
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- Laurent Ferrara & Clément Marsilli, 2019. "Nowcasting global economic growth: A factor-augmented mixed-frequency approach," Post-Print hal-01636761, HAL.
- Mittal, Amit & Garg, Ajay Kumar, 2018. "Bank stocks inform higher growth – A System GMM analysis of ten emerging markets in Asia," MPRA Paper 98253, University Library of Munich, Germany.
- Ferrara, Laurent & Marsilli, Clément & Ortega, Juan-Pablo, 2014.
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- Laurent Ferrara & Clément Marsilli & Juan-Pablo Ortega, 2013. "Forecasting US growth during the Great Recession: Is the financial volatility the missing ingredient?," EconomiX Working Papers 2013-19, University of Paris Nanterre, EconomiX.
- Laurent Ferrara & Clément Marsilli & Juan-Pablo Ortega, 2014. "Forecasting growth during the Great Recession: is financial volatility the missing ingredient?," Post-Print hal-01385941, HAL.
- Ferrara, L. & Marsilli, C. & Ortega, J-P., 2013. "Forecasting growth during the Great Recession: is financial volatility the missing ingredient?," Working papers 454, Banque de France.
- Morita, Hiroshi, 2022. "Forecasting GDP growth using stock returns in Japan: A factor-augmented MIDAS approach," Discussion paper series HIAS-E-118, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
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- C. Marsilli, 2014. "Variable Selection in Predictive MIDAS Models," Working papers 520, Banque de France.
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More about this item
Keywords
Great Recession; Forecasting; Financial variables; MIDAS approach;All these keywords.
JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FOR-2012-04-17 (Forecasting)
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