Financial Market Variables do not Predict Real Activity: Further Evidence
Previous studies argue that financial variables do not help forecast U.S. output growth. F statistics for excluding financial variables from output growth equations depend on the sample period and the inclusion of 1974:12 in the sample. Also, an autoregressive model of output growth often provides better forecasts than models with lagged financial variables included. I decompose output into permanent and cyclical components and ask whether financial variables help forecast either component in isolation. The paper-bill spread does improve in-sample forecasts of cyclical output, but no financial variable helps forecast either cyclical output or permanent output growth out of sample. Copyright 2002, Oxford University Press.
Year of publication: |
2002
|
---|---|
Authors: | Weber, Christian E. |
Published in: |
Economic Inquiry. - Western Economic Association International - WEAI. - Vol. 40.2002, 1, p. 80-90
|
Publisher: |
Western Economic Association International - WEAI |
Saved in:
Saved in favorites
Similar items by person
-
Lagrange Multipliers as Marginal Rates of Substitution in Multi-Constraint Optimization Problems
Weber, Christian E., (2001)
-
Gains From Trade for Nonmaterialists, Environmentalists, and the Overworked
Weber, Christian E., (2007)
-
Edgeworth on Complementarity, or Edgeworth, Auspitz-Lieben, and Pareto De-Homogenized
Weber, Christian E., (2005)
- More ...