Stock market as a nowcasting indicator for real investment

Degiannakis, Stavros (2021): Stock market as a nowcasting indicator for real investment.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Gross fixed capital formation, nowcasting, mixed frequency, predictor, real investment, stock market.
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E22 - Investment ; Capital ; Intangible Capital ; Capacity; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E27 - Forecasting and Simulation: Models and Applications; G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation

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