The Role of Financial Spreads in Macroeconomic Forecasting: Evidence for the UK
This paper examines the potential use of financial spreads in forecasting aggregate macroeconomic activity in the United Kingdom. The authors develop a quarterly BVAR (Bayesian vector autoregressive) macroeconomic model which is used to generate out-of-sample forecasts for GDP, prices, real effective exchange rate, interest rate and other macroeconomic variables at varying forecast horizons over the period 1989Q1-1995Q2. The forecasts are generated through sequential reestimation using the Kalman filter. Extensive experimentation is undertaken, using different priors, monetary indicators and financial spreads. The empirical results suggest that financial spreads in the United Kingdom do not contain any predictive information on future real macroeconomic activity, but they yield a significant improvement in price predictions. Copyright 1999 by Blackwell Publishers Ltd and The Victoria University of Manchester
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 67 (1999)
Issue (Month): 1 (January)
|Contact details of provider:|| Postal: Manchester M13 9PL|
Phone: (0)161 275 4868
Fax: (0)161 275 4812
Web page: http://www.blackwellpublishing.com/journal.asp?ref=1463-6786
More information through EDIRC
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=1463-6786|