Unité mixte de recherche 7235

Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession

Laurent Ferrara, Clément Marsilli

[en]The global economic recession, referred to as the Great Recession, endured by the main industrialized countries during the period 2008-09, in the wake of the financial and banking crisis, has pointed out the current importance of the financial sector in macroeconomics. In this paper, we evaluate the predictive power of some major financial variables to anticipate GDP growth in euro area countries during this specific period of time. In this respect, we implement a MIDAS-based modeling approach, put forward by Ghysels et al. (2007), that enables to forecast quarterly GDP growth rates using exogenous variables sampled at higher frequencies. Empirical results show that, overall, stock prices help to improve the accuracy of GDP forecasts by comparison with a standard opinion survey variable, while oil prices and term spread appear to be less informative.[/en]

AGENDA

lundi 12 décembre 2022

Law, Institutions and Economics in Nanterre (LIEN)

Clément Brébion (Copenhagen BS)

En salle 614 et en distanciel

Unemployment Insurance Eligibility and Employment Duration

mardi 13 décembre 2022

Développement Durable Environnement et Energie (DDEE)

Nicolas Astier (Paris School of Economics)

16h-17h

Riding together: eliciting travelers’ preferences for long-distance carpooling

mercredi 14 décembre 2022

Économies du monde musulman

Mohamed Touati Tliba (École Supérieure de Commerce, Alger)

The scientific wealth of nations with special reference to MENA region: a cross-country productivity analysis of academic research

jeudi 15 décembre 2022

Doctorants

Pablo Aguilar Perez

Profitability and solvency of French insurance companies in an environment of low interest rates

jeudi 15 décembre 2022

Groupe de travail « Intelligence artificielle »

Matthieu Latapy (LiP6, CNRS / Sorbonne Université)

Salle G614B

Résistance — Perturber les Infrastructures en Réseaux

jeudi 15 décembre 2022

Groupe de travail Economie Comportementale

Magali Dumontet

TBA

jeudi 5 janvier 2023

Lunch

Mehdi Aït-Hamlat, Florian Baudoin, Tanguy Bonnet

Nouveaux doctorants

mardi 10 janvier 2023

Développement Durable Environnement et Energie (DDEE)

Antoine Missemer (CNRS, CIRED Paris)

Pour une histoire alternative des rapports économie-environnement : à propos de ‘A History of Ecological Economic Thought’

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