Does Futures Market Information Improve Macroeconomic Forecasting: Evidence from China

Published: 27 January 2025| Version 1 | DOI: 10.17632/c4vfptbv77.1
Contributors:
, Mingmian Cheng

Description

Quarterly data on GDP growth rate, broken down by the three sectors (primary, secondary, and tertiary industries); Monthly data on PMI and PPI; Daily closing prices of commodity futures; Data of the CSI 300 stock index futures, including daily returns, trading volume, log trading volume, change in positions, basis, and amplitude.

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Categories

Financial Forecasting, Financial Econometrics, Machine Learning, Futures Market

Funding

National Natural Science Foundation of China

72203242

Licence