Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103571
Authors: 
Apergis, Nicholas
Payne, James E.
Year of Publication: 
2013
Citation: 
[Journal:] International Journal of Financial Studies [ISSN:] 2227-7072 [Publisher:] MDPI [Place:] Basel [Volume:] 1 [Year:] 2013 [Issue:] 3 [Pages:] 62-80
Abstract: 
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.
Subjects: 
Baltic Dry Index
asset markets
macroeconomy
panel data
JEL: 
C23
G11
G12
G13
E23
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/3.0/
Document Type: 
Article

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