关于传染病造成的不确定性与美国产出增长的说明:混合频率预测实验

IF 2 0 ECONOMICS Annals of Financial Economics Pub Date : 2022-04-20 DOI:10.1142/s2010495222500099

Afees A. Salisu, Rangan Gupta, Rıza Demirer

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引用次数: 4

摘要

利用混合数据抽样（MIDAS）方法，我们表明，基于日报的传染病相关不确定性指数可以用于预测样本内和样本外美国产出增长的低频变化。在新冠肺炎疫情导致经济不确定性加剧的当前时期，月度工业生产增长和季度实际国内生产总值（GDP）增长的可预测性可能对政策制定者具有巨大价值。

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A NOTE ON UNCERTAINTY DUE TO INFECTIOUS DISEASES AND OUTPUT GROWTH OF THE UNITED STATES: A MIXED-FREQUENCY FORECASTING EXPERIMENT

Utilizing a mixed data sampling (MIDAS) approach, we show that a daily newspaper-based index of uncertainty associated with infectious diseases can be used to predict, both in- and out-of-samples, low-frequency movements of output growth for the United States (US). The predictability of monthly industrial production growth and quarterly real Gross Domestic Product (GDP) growth during the current period of heightened economic uncertainty due to the COVID-19 pandemic is likely to be of tremendous value to policymakers.

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来源期刊

Annals of Financial Economics ECONOMICS-

CiteScore

6.60

自引率

55.00%

发文量