haku: @indexterm ECONOMIC FORECASTING / yhteensä: 665
viite: 11 / 665
| Tekijä: | Kinnunen, H. |
| Otsikko: | Forecasting the economic state with financial market information and term structure of interest rates |
| Lehti: | Liiketaloudellinen aikakauskirja
2003 : 2, p. 122-156 |
| Asiasana: | Finance Stock markets Information Economic forecasting Interest rates Measurement Models |
| Kieli: | eng |
| Tiivistelmä: | This study examines whether financial markets, especially excess stock returns (stock returns here as: s-r.), contain information about changes in future values of certain macroeconomic variables. Earlier literature documents that term spreads (here as: t-s.) of interest rates can predict both nominal activity, i.e. inflation, and real activity, i.e. output, consumption and industrial production. This paper combines s-r. and t-s. in an economic tracking portfolio (ETP) framework and shows that ETP can forecast changes in future macroeconomic variables, most accurately with 12 month forecasting horizon. The information content of industry stock portfolios depends on the target macroeconomic variable. The importance of t-s. is supported in two ways: 1. they improve the performance of the ETP model even though the omission of them from the analysis seems to have only marginal effect, 2. the only benchmark model that outperforms the ETP model in some cases uses solely t-s. as explanatory variables. |
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