The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity
By Gurdip Bakshi, George Panayotov, Georgios Skoulakis. 2010
134 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/cea918c417951083252564147b0e0e58f147ed31
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Christiane Baumeister
- Lutz Kilian
- Pierre Guérin
- Robert Ready
- George Filis
- Colin Ward
- Nikolai L. Roussanov
- Stavros Degiannakis *
In Finance
- Robert Ready
- Colin Ward
- Nikolai L. Roussanov
- Lutz Kilian
- Pierre Guérin
- Christiane Baumeister
- Helmut Lütkepohl
- Lucio Sarno
Citations in the corpus
- Do High-Frequency Financial Data Help Forecast Oil Prices? The Midas Touch at Work (2015, background): “crude oil inventories, and (5) the Baltic Dry Index (BDI); (6) returns and excess returns on oil company stocks; (7) cumulative changes in U.”
- Commodity Trade and the Carry Trade: a Tale of Two Countries (2017, methodology): “Similarly, Bakshi, Panayotov, and Skoulakis (2010) show that high levels of the BDI predict high returns in many different asset classes, including commodities.”
- The Skewness of Commodity Futures Returns (2018, unknown): “12 Following the literature, the business cycle indicators are the default spread (yield differential between BAA and AAA bonds), TED spread (3-month LIBOR minus 3-month T-bill rate), term spread (10-year T-bond minus 3-month T-bill yield), daily change in VXO index and, given our commodity focus, t”