Hi r/stocks,
I have a passion for collecting data from sources like St. Louis FRED and Yahoo Finance! via their APIs. I'm interested in understanding the relationships between macroeconomic indicators (leading, coincident, and lagging) and stock performance, as well as indices.
I've been exploring Cross Correlation Functions (CCF) to analyze these relationships, but sometimes I find that the time-lags can be quite wide, like 90-180 days. I'm also interested in understanding the predictive capabilities of increases and decreases in these indicators, as well as the beta between them.
I'm curious about the methods used in economics and investing to analyze these relationships. Is it mainly CCF and regression, or are there other possibilities and techniques that I should explore?
If any of you have experience or knowledge in this area, I'd greatly appreciate your insights and suggestions. Thanks in advance!
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