Are sectoral stock prices useful for predicting euro area GDP?
AbstractThis paper evaluates how well sectoral stock prices forecast future economic activity compared to traditional predictors such as the term spread, dividend yield, exchange rates and money growth. The study is applied to euro area financial asset prices and real economic growth, covering the period 1973 to 2006. The paper finds that the term spread is the best predictor of future growth in the period leading up to the introduction of Monetary Union. After 1999, however, sectoral stock prices in general provide more accurate forecasts than traditional asset price measures across all forecast horizons.
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Bibliographic InfoPaper provided by Central Bank of Ireland in its series Research Technical Papers with number 2/RT/08.
Length: 19 pages
Date of creation: Apr 2008
Date of revision:
Other versions of this item:
- Andersson, Magnus & D’Agostino, Antonello, 2008. "Are sectoral stock prices useful for predicting euro area GDP?," Working Paper Series 0876, European Central Bank.
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-31 (All new papers)
- NEP-CBA-2009-01-31 (Central Banking)
- NEP-EEC-2009-01-31 (European Economics)
- NEP-FDG-2009-01-31 (Financial Development & Growth)
- NEP-FOR-2009-01-31 (Forecasting)
- NEP-MAC-2009-01-31 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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