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Daily Tracker of Global Economic Activity. A Close-Up of the Covid-19 Pandemic

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  • Pérez-Quirós, Gabriel
  • Diaz, Elena

Abstract

This paper develops a novel indicator of global economic activity, the GEA Tracker, which is based on commodity prices selected recursively through a genetic algorithm. The GEA Tracker allows for daily real-time knowledge of international business conditions using a minimum amount of information. We find that the GEA Tracker outperforms its competitors in forecasting stock returns, especially in emerging markets, and in predicting standard indicators of international business conditions. We show that an investor would have inexorably profited from using the forecasts provided by the GEA Tracker to weight his/her portfolio. Finally, the GEA Tracker allows us to present the daily evolution of global economic activity during the COVID-19 pandemic.

Suggested Citation

  • Pérez-Quirós, Gabriel & Diaz, Elena, 2020. "Daily Tracker of Global Economic Activity. A Close-Up of the Covid-19 Pandemic," CEPR Discussion Papers 15451, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:15451
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    More about this item

    Keywords

    Global economic activity; Commodity prices; Factor models; Genetic algorithm;
    All these keywords.

    JEL classification:

    • F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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