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The predictive content of sectoral stock prices: a US-euro area comparison

  • Andersson, Magnus
  • D’Agostino, Antonello
  • de Bondt, Gabe
  • Roma, Moreno

This paper examines the out‐of‐sample forecast performance of sectoral stock market indicators for real GDP, private consumption and investment growth up to 4 quarters ahead in the US and the euro area. Our findings are that the predictive content of sectoral stock market indicators: i) is potentially strong, particularly for the financial sector, and is stronger than that of financial spreads; ii) varies over time, with a substantial improvement after 1999 for the euro area; iii) is stronger for investment than for private consumption; and iv) is stronger in the euro area than in the United States. JEL Classification: C53, E37, G12

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Paper provided by European Central Bank in its series Working Paper Series with number 1343.

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Date of creation: May 2011
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Handle: RePEc:ecb:ecbwps:20111343
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  1. Bianca De Paoli & Pawel Zabczyk, 2012. "Cyclical Risk Aversion, Precautionary Saving and Monetary Policy," CEP Discussion Papers dp1132, Centre for Economic Performance, LSE.
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