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Int. J. Financial Stud. 2013, 1(3), 62-80; doi:10.3390/ijfs1030062

New Evidence on the Information and Predictive Content of the Baltic Dry Index

1,*  and 2
1 Department of Banking and Financial Management, University of Piraeus, 80 Karaoli & Dimitriou, Piraeus 18534, Greece 2 Department of Economics and Finance, University of New Orleans, 2000 Lakeshore Drive, New Orleans, LA 70148, USA
* Author to whom correspondence should be addressed.
Received: 13 May 2013 / Revised: 15 July 2013 / Accepted: 16 July 2013 / Published: 24 July 2013
(This article belongs to the Special Issue Recent Developments in Finance and Banking after the 2008 Crisis)
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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.
Keywords: Baltic Dry Index; asset markets; macroeconomy; panel data Baltic Dry Index; asset markets; macroeconomy; panel data
This is an open access article distributed under the Creative Commons Attribution License (CC BY) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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Apergis, N.; Payne, J.E. New Evidence on the Information and Predictive Content of the Baltic Dry Index. Int. J. Financial Stud. 2013, 1, 62-80.

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