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Stock market as a nowcasting indicator for real investment

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  • Degiannakis, Stavros

Abstract

The paper proposes a novel method to assess whether real investment can be nowcasted based on information that is available on the stock market. The stock market index on a daily sampling frequency is assessed as a predictor of gross fixed capital formation on a quarterly sampling frequency. For France, Germany, Greece and Spain (four representative countries of eurozone), we find significant empirical evidence that the information from the stock market does produce accurate nowcasting values of gross fixed capital formation.

Suggested Citation

  • Degiannakis, Stavros, 2021. "Stock market as a nowcasting indicator for real investment," MPRA Paper 110914, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:110914
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    References listed on IDEAS

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    More about this item

    Keywords

    Gross fixed capital formation; nowcasting; mixed frequency; predictor; real investment; stock market.;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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