Work

Forecasting Economic Growth Based on Systemic Risk for a Sample of Emerging Countries: a MIDAS Approach with Almon Polynomial Lag Distribution

Year: 2025

Type: article

Abstract: This study aims to study the effect of systemic risk on economic growth and provide GDP growth forecasts for five emerging countries. To do so, Mixed Data Sampling (MIDAS) models are used to incorporate the Emerging Market Bond Index (EMBI) and the Composite Leading Indicator (CLI) as explanatory variables. This methodology combines different time series frequencies and various weighting schemes and lag structures. The main empirical results suggest that MIDAS models provide accurate forecasts, in particular during periods of strong recessions, as in the subprime crisis. Moreover, the results show similarities with many previous studies on emerging countries, which demonstrate the accuracy of MIDAS models. This research provides a deeper understanding of the impact of systemic risk on economic growth and the financial factors that influence the latter, thereby contributing substantially to better economic policy design in developing countries.

Source: International Journal of Economics and Financial Issues

DOI: 10.32479/ijefi.19110

Authors: Guillermo Benavides-Perales, Carmen Borrego-Salcido, Francisco Venegas-Martínez

Institutions: Bank of Mexico, Instituto Politécnico Nacional

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Decent work and economic growth

Open Access status: gold

Estimated APC paid: $300