Forecasting the macroeconomy with contemporaneous financial market information: Europe and the United States

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• 作者：Juha Junttila
• 关键词：Financial markets ; Forecasting ; Macroeconomy ; Euro area ; USA
• 刊名：Review of Financial Economics
• 出版年：2007
• 出版时间：2007
• 年：2007
• 卷：16
• 期：2
• 页码：149-175
• 全文大小：1243 K

文摘

Using Economic Tracking Portfolios (ETP), I find that it is possible to forecast future values of inflation and changes in industrial production in the United States and three core euro countries – Italy, France and Germany – utilizing only current and past financial market information. The longer the forecasting horizon, the better the forecasts based solely on financial market information compared to results from other methods. Of the countries I analyze, the overall forecasting performance of the tracking portfolios is the best for the U.S., and my method outperforms the forecasting performance of a VAR approach.