Macroeconomic indicators

[lannov]

1) Rationale of the choice of macro indicators 2) Add fred codes

[Cincinnatik]

A shared document has been created. It describes the rationale for the choice of indicators, from the point of view of economic theory.

• Link to the sheet with macroeconomic indicators: _https://docs.google.com/spreadsheets/d/1b1Z72CEDui0a_Zt1B8AUz6CR_TfJWRZOkdBlUA4sQVw/edit?usp=share_link_

• Link to the document: https://docs.google.com/document/d/1lICpGZ8eTb1cLLm5N-OeItbk36maHLpD/edit?usp=sharing&ouid=111497783160790842651&rtpof=true&sd=true

The document reflects: the name of the indicator, the name in English, the code from the FRED databases, the units of measurement of the indicator, the justification / interpretation of the indicator from the point of view of forecasting.

The procedure for selecting indicators was carried out based on assumptions about the impact of indicators on the profitability of ETFs.

The macroeconomic indicators are taken from the previously specified database resource FRED – (database of the US Federal Reserve System).

[Gandolier]

Many of macroeconomic indicators were excluded from the initial dataset. It was done for various reasons:

• Quarterly data is inappropriate for regressions if we are to use them to predict data in next month.
• Many regressors are strongly correlated and there is a theoretical macroeconomic reasons to believe that they resemble the same patterns.
• A problem of endogeneity exists and needs to be fixed by excluding determinde variables and including the explanatory regressors.
• Presence of collider-variables.

[Cincinnatik]

Additional indicators were described by @Cincinnatik from the point of view of economic theory, which were also used in the Kyrill's model. Among them: Personal Consumption Expenditures: Chain-type Price Index, University of Michigan: Consumer Sentiment, Real Government Consumption Expenditures, Corporate Profits, Wilshire 5000 Price Index, Employment Level, Labor Force Participation Rate, Purchase Only House Price Index, Coincident Economic Activity Index for the United States. The text has been edited for grammatical and lexical errors, by @arinaaandreeva.

duplicate the link: https://docs.google.com/document/d/13JutGa_g1rHdc7E77pftV1OzdI_0l8gAbHdSVo64qYo/edit

p.s.the added indicators are highlighted in yellow