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Forecasting recovery from COVID-19 using financial data: An application to Viet Nam

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  • Jesse Lastunen
  • Matteo Richiardi

Abstract

We develop a new methodology to nowcast the effects of the COVID-19 crisis and forecast its evolution in small, export-oriented countries. To this aim, we exploit variation in financial indexes at the industry level and relate them to the expected duration of the crisis for each industry, under the assumption that the main shocks to financial prices in recent months have come from COVID-19.

Suggested Citation

  • Jesse Lastunen & Matteo Richiardi, 2021. "Forecasting recovery from COVID-19 using financial data: An application to Viet Nam," WIDER Working Paper Series wp-2021-84, World Institute for Development Economic Research (UNU-WIDER).
    • Handle: RePEc:unu:wpaper:wp-2021-84
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    References listed on IDEAS

    as
    1. Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013. "Now-Casting and the Real-Time Data Flow," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237, Elsevier.
    2. Raul Ibarra & Luis M. Gomez-Zamudio, 2017. "Are Daily Financial Data Useful for Forecasting GDP? Evidence from Mexico," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Spring 20), pages 173-203, April.
    3. Knotek, Edward S. & Zaman, Saeed, 2019. "Financial nowcasts and their usefulness in macroeconomic forecasting," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1708-1724.
    4. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2013. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 240-251, April.
    5. Mr. James M. Boughton, 1997. "Modeling the World Economic Outlook At the IMF: A Historical Review," IMF Working Papers 1997/048, International Monetary Fund.
    6. Cristelli,Matthieu Claudio Ascagne & Tacchella,Andrea & Cader,Masud Z. & Roster,Kirstin Ingrid & Pietronero,Luciano, 2017. "On the predictability of growth," Policy Research Working Paper Series 8117, The World Bank.
    7. G. Elliott & C. Granger & A. Timmermann (ed.), 2013. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 2, number 2.
    8. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
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    More about this item

    Keywords

    COVID-19; Pandemic; Forecasting; Finance; Viet Nam; Shocks;
    All these keywords.

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