利用混合频率动态因素模型构建高频世界经济指数

IF 3.4 3区经济学 Q1 ECONOMICS

Journal of Forecasting Pub Date : 2024-04-04 DOI:10.1002/for.3130

Chew Lian Chua, Sarantis Tsiaplias, Ruining Zhou

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引用次数: 0

摘要

本文利用每日、每月和每季度频率的信息构建每日世界经济指标（WEG）。我们假设了一个混合频率动态因素模型，以提取不同频率的可观测数据，从而跟踪全球经济的健康状况。我们的研究表明，WEG 为在 COVID-19 和全球金融危机等关键事件期间跟踪经济活动提供了可靠的依据。此外，除了 42 个国家的产出增长外，WEG 还包含经合组织（OECD）、七国集团（G7）、北美自由贸易协定（NAFTA）、欧盟和欧元区产出增长的领先信息。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Constructing a high-frequency World Economic Gauge using a mixed-frequency dynamic factor model

This paper uses information at the daily, monthly, and quarterly frequencies to construct a daily World Economic Gauge (WEG). We postulate a mixed-frequency dynamic factor model to extract data observable at different frequencies in order to track the health of the global economy. We show that the WEG offers a reliable basis for tracking economic activity during key events such as COVID-19 and the Global Financial Crisis. Moreover, the WEG is shown to contain leading information about the output growth of the OECD, G7, NAFTA, European Union, and euro areas, in addition to the output growth of 42 individual countries.

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来源期刊

Journal of Forecasting Multiple-

CiteScore

5.40

自引率

5.90%

发文量

期刊介绍： The Journal of Forecasting is an international journal that publishes refereed papers on forecasting. It is multidisciplinary, welcoming papers dealing with any aspect of forecasting: theoretical, practical, computational and methodological. A broad interpretation of the topic is taken with approaches from various subject areas, such as statistics, economics, psychology, systems engineering and social sciences, all encouraged. Furthermore, the Journal welcomes a wide diversity of applications in such fields as business, government, technology and the environment. Of particular interest are papers dealing with modelling issues and the relationship of forecasting systems to decision-making processes.