GDP is the most important and widely studied macroeconomic variable. It indicates the state of an economy and is used as a measure of the economic strength of a country. Due to its comprehensive nature, calculating GDP takes a great deal of work and is often revised over time. This has led to the common practice of forecasting GDP using econometric models. This paper introduces a new method for estimating GDP using a unique data set of options whose values are determined by the levels of GDP and the GDP growth rate. The option is market priced which makes it distinct since it is available daily, subject to no revisions and aggregates the market’s opinion about GDP. These option implied values for GDP and GDP growth rate are similar to the concept of implied volatilities. We show that this option improves the GDP growth rate forecasts by 21% compared to conventional econometric models.

中文翻译：

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市场隐含GDP

GDP是​​最重要且研究最广泛的宏观经济变量。它指示经济状况，并用作衡量一个国家经济实力的指标。由于其综合性质，计算GDP会花费大量工作，并且经常会随着时间的推移进行修订。这导致了使用计量经济学模型预测GDP的普遍做法。本文介绍了一种使用独特的期权数据集估算GDP的新方法，其价值取决于GDP的水平和GDP的增长率。该期权是按市场定价的，这使它与众不同，因为它是每日可用的，无需修改，并且汇总了市场对GDP的看法。GDP和GDP增长率的这些期权隐含值类似于隐含波动率的概念。