Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Laurent Ferrara & Clément 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.
References listed on IDEAS
- Eric Ghysels & Arthur Sinko & Rossen Valkanov, 2007. "MIDAS Regressions: Further Results and New Directions," Econometric Reviews, Taylor & Francis Journals, vol. 26(1), pages 53-90.
- Hamilton, James D., 2003.
"What is an oil shock?,"
Journal of Econometrics,
Elsevier, vol. 113(2), pages 363-398, April.
- James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc.
- Marcellino, Massimiliano & Schumacher, Christian, 2007.
"Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP,"
Discussion Paper Series 1: Economic Studies
2007,34, Deutsche Bundesbank.
- Marcellino, Massimiliano & Schumacher, Christian, 2008. "Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP," CEPR Discussion Papers 6708, C.E.P.R. Discussion Papers.
- Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Economics Working Papers ECO2008/16, European University Institute.
- Lutz Kilian, 2008.
"The Economic Effects of Energy Price Shocks,"
Journal of Economic Literature,
American Economic Association, vol. 46(4), pages 871-909, December.
- Kilian, Lutz, 2007. "The Economic Effects of Energy Price Shocks," CEPR Discussion Papers 6559, C.E.P.R. Discussion Papers.
- Farmer, Roger E.A., 2012.
"The stock market crash of 2008 caused the Great Recession: Theory and evidence,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 36(5), pages 693-707.
- Farmer, Roger E A, 2011. "The Stock Market Crash of 2008 Caused the Great Recession: Theory and Evidence," CEPR Discussion Papers 8617, C.E.P.R. Discussion Papers.
- Roger E.A. Farmer, 2011. "The Stock Market Crash of 2008 Caused the Great Recession: Theory and Evidence," NBER Working Papers 17479, National Bureau of Economic Research, Inc.
- Rudebusch, Glenn D. & Williams, John C., 2009.
"Forecasting Recessions: The Puzzle of the Enduring Power of the Yield Curve,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 27(4), pages 492-503.
- Glenn D. Rudebusch & John C. Williams, 2007. "Forecasting recessions: the puzzle of the enduring power of the yield curve," Working Paper Series 2007-16, Federal Reserve Bank of San Francisco.
- Annabelle Mourougane & Moreno Roma, 2003.
"Can confidence indicators be useful to predict short term real GDP growth?,"
Applied Economics Letters,
Taylor & Francis Journals, vol. 10(8), pages 519-522.
- Mourougane, Annabelle & Roma, Moreno, 2002. "Can confidence indicators be useful to predict short term real GDP growth?," Working Paper Series 0133, European Central Bank.
- Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2003.
"How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States,"
The Review of Economics and Statistics,
MIT Press, vol. 85(3), pages 629-644, August.
- Arturo Estrella & Anthony P. Rodrigues & Sebastian Schich, 2000. "How stable is the predictive power of the yield curve? evidence from Germany and the United States," Staff Reports 113, Federal Reserve Bank of New York.
- Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005.
"Predicting real growth and the probability of recession in the Euro area using the yield spread,"
International Journal of Forecasting,
Elsevier, vol. 21(2), pages 261-277.
- Ivan Paya & Agustín Duarte & Ioannis A. Venetis, 2004. "Predicting Real Growth And The Probability Of Recession In The Euro Area Using The Yield Spread," Working Papers. Serie AD 2004-31, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Bellégo, C. & Ferrara, L., 2009. "Forecasting Euro-area recessions using time-varying binary response models for financial," Working papers 259, Banque de France.
- Laurent Ferrara, 2007. "Point and interval nowcasts of the Euro area IPI," Applied Economics Letters, Taylor & Francis Journals, vol. 14(2), pages 115-120.
- Clements, Michael P & Galvão, Ana Beatriz, 2008. "Macroeconomic Forecasting With Mixed-Frequency Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 546-554.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- L. Ferrara & C. Marsilli, 2014.
"Nowcasting global economic growth: A factor-augmented mixed-frequency approach,"
Working papers
515, Banque de France.
- Laurent Ferrara & Clément Marsilli, 2017. "Nowcasting global economic growth: A factor-augmented mixed-frequency approach," Post-Print hal-01636761, HAL.
- repec:eee:ecmode:v:64:y:2017:i:c:p:26-39 is not listed on IDEAS
- repec:eee:ecmode:v:68:y:2018:i:c:p:586-598 is not listed on IDEAS
- C. Marsilli, 2014. "Variable Selection in Predictive MIDAS Models," Working papers 520, Banque de France.
- Petralias, Athanassios & Petros, Sotirios & Prodromídis, Pródromos, 2013.
"Greece in recession: economic predictions, mispredictions and policy implications,"
LSE Research Online Documents on Economics
52626, London School of Economics and Political Science, LSE Library.
- Athanassios Petralias & Sotirios Petros & Pródromos Prodromídis, 2013. "Greece in Recession: Economic predictions, mispredictions and policy implications," GreeSE – Hellenic Observatory Papers on Greece and Southeast Europe 75, Hellenic Observatory, LSE.
- Ferrara, Laurent & Marsilli, Clément & Ortega, Juan-Pablo, 2014.
"Forecasting growth during the Great Recession: is financial volatility the missing ingredient?,"
Economic Modelling,
Elsevier, vol. 36(C), pages 44-50.
- 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.
- 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.
- Mogliani, Matteo & Darné, Olivier & Pluyaud, Bertrand, 2017.
"The new MIBA model: Real-time nowcasting of French GDP using the Banque de France's monthly business survey,"
Economic Modelling,
Elsevier, vol. 64(C), pages 26-39.
- Mogliani, M. & Brunhes-Lesage, V. & Darné, O. & Pluyaud, B., 2014. "New estimate of the MIBA forecasting model. Modeling first-release GDP using the Banque de France's Monthly Business Survey and the “blocking” approach," Working papers 473, Banque de France.
- 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.
- 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.
More about this item
Keywords
Great Recession; Forecasting; Financial variables; MIDAS approach;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-ALL-2012-04-17 (All new papers)
- NEP-FOR-2012-04-17 (Forecasting)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:drm:wpaper:2012-19. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Valerie Mignon). General contact details of provider: http://edirc.repec.org/data/modemfr.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.