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Credit, the Stock Market and Oil: Forecasting US GDP

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  • Muellbauer, John
  • Nunziata, Luca

Abstract

We derive a comprehensive one-year ahead forecasting model of US per capita GDP for 1955-2000, collectively examining variables usually considered singly, e.g. interest rates, credit conditions, the stock market, oil prices and the yield gap, of which all, except the last, are found to matter. The credit conditions index is measured in the Federal Reserve?s Survey of Senior Loan Officers and its importance is consistent with a ?financial accelerator? view. The balance of payments, exchange rate and fiscal policy also play a role. We address the Lucas critique, investigating consequences of monetary policy regime shifts in 1980, and fiscal policy regime shifts at the end of the 1980?s. The model forecasts in 2001 the most severe growth reversal since 1974.

Suggested Citation

  • Muellbauer, John & Nunziata, Luca, 2001. "Credit, the Stock Market and Oil: Forecasting US GDP," CEPR Discussion Papers 2906, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:2906
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    Cited by:

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    2. Zia-Ur- Rahman, 2019. "Influence of Excessive Expenditure of the Government in Perspective of Interest Rate and Money Circulation Which in Turn Affects the Growing Process in Pakistan," Asian Journal of Economics and Empirical Research, Asian Online Journal Publishing Group, vol. 6(2), pages 120-129.
    3. Maslyuk, Svetlana & Smyth, Russell, 2009. "Non-linear unit root properties of crude oil production," Energy Economics, Elsevier, vol. 31(1), pages 109-118, January.
    4. Narayan, Paresh Kumar & Narayan, Seema & Smyth, Russell, 2008. "Are oil shocks permanent or temporary? Panel data evidence from crude oil and NGL production in 60 countries," Energy Economics, Elsevier, vol. 30(3), pages 919-936, May.
    5. Alarudeen Aminu & Isiaka Akande Raifu, 2019. "Dynamic Nexus between Oil Revenues and Economic Growth in Nigeria," Economics Bulletin, AccessEcon, vol. 39(2), pages 1556-1570.
    6. Ozdemir, Zeynel Abidin & Gokmenoglu, Korhan & Ekinci, Cagdas, 2013. "Persistence in crude oil spot and futures prices," Energy, Elsevier, vol. 59(C), pages 29-37.
    7. Christopher Bowdler, 2003. "Openness and the Output-Inflation Tradeoff," Economics Series Working Papers 2003-W04, University of Oxford, Department of Economics.
    8. Christopher Bowdler, 2003. "Openness and the Output-Inflation Tradeoff," Economics Papers 2003-W04, Economics Group, Nuffield College, University of Oxford.

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    More about this item

    Keywords

    Macroeconomic forecasts; Monetary policy transmission; The credit channel; The financial accelerator; Lucas critique; The us recession; Oil prices;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E63 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Comparative or Joint Analysis of Fiscal and Monetary Policy; Stabilization; Treasury Policy

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