A NOTE ON UNCERTAINTY DUE TO INFECTIOUS DISEASES AND OUTPUT GROWTH OF THE UNITED STATES: A MIXED-FREQUENCY FORECASTING EXPERIMENT-Reference-Cited by-同舟云学术

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

Published:2022-04-20 Issue:02 Volume:17 Page:
ISSN:2010-4952
Container-title:Annals of Financial Economics
language:en
Short-container-title:Ann. Finan. Econ.

Author:

SALISU AFEES A.¹²,GUPTA RANGAN²,DEMIRER RIZA³

Affiliation:

1. Centre for Econometric & Allied Research, University of Ibadan, Ibadan, Nigeria

2. Department of Economics, University of Pretoria, Private Bag X20, Hatfield 0028, South Africa

3. Department of Economics and Finance, Southern Illinois University Edwardsville, Edwardsville, IL 62026-1102, USA

Abstract

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.

Publisher

World Scientific Pub Co Pte Ltd

Subject

Economics and Econometrics,Finance,Business and International Management

Link

https://www.worldscientific.com/doi/pdf/10.1142/S2010495222500099

Reference16 articles.

1. The Role of Economic Policy Uncertainty in Predicting U.S. Recessions: A Mixed-frequency Markov-switching Vector Autoregressive Approach

2. Forecasting GDP growth using mixed-frequency models with switching regimes

3. Irreversibility, Uncertainty, and Cyclical Investment

4. Viewpoint: Estimating the equity premium

5. Approximately normal tests for equal predictive accuracy in nested models

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