DP15451 Daily Tracker of Global Economic Activity. A Close-Up of the Covid-19 Pandemic

Author(s): Elena Maria Diaz, Gabriel Pérez-Quirós
Publication Date: November 2020
Keyword(s): commodity prices, factor models, Genetic Algorithm, Global Economic Activity
JEL(s): F44, G17, Q02
Programme Areas: Monetary Economics and Fluctuations
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=15451

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.