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  • 标题:New Evidence on the Information and Predictive Content of the Baltic Dry Index
  • 本地全文:下载
  • 作者:Apergis, Nicholas ; Payne, James
  • 期刊名称:International Journal of Financial Studies
  • 印刷版ISSN:2227-7072
  • 出版年度:2013
  • 卷号:1
  • 期号:3
  • 页码:62-80
  • 出版社:MDPI, Open Access Journal
  • 摘要:This empirical study analyzes the information and predictive content of the Baltic Dry Index (BDI) with respect to a range of financial assets and the macroeconomy. By using panel methodological approaches and daily data spanning the period 1985–2012, the empirical analysis documents the joint predictability capacity of the BDI for both financial assets and industrial production. The results reveal the role of the BDI in predicting the future course of the real economy, yielding a link between financial asset markets and the macroeconomy.
  • 关键词:Baltic Dry Index; asset markets; macroeconomy; panel data
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