The role of stock markets vs. the term spread in forecasting macrovariables in Finland

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• 作者：Petri Kuosmanen^a ; Juuso Vataja^a ; ^b ; ^{jpv@uwasa.fi"" rel=""nofollow}
• 关键词：Term spread ; Stock market ; Forecasting ; Macroeconomy
• 刊名：The Quarterly Review of Economics and Finance
• 出版年：2011
• 出版时间：May 2011
• 年：2011
• 卷：51
• 期：2
• 页码：124-132
• 全文大小：241 K

文摘

A substantial body of stylized facts and empirical evidence exists regarding the relationships between financial variables and the macroeconomy in the United States. However, the question of whether this evidence is consistent with the cases of small open economies is less known. This paper focuses on the forecasting content of stock returns and volatility vs. the term spread for GDP, private consumption, industrial production and the inflation rate in Finland.

Our results suggest that during normal times, the term spread is a much better tool than stock market variables for predicting real activity. However, during exceptional times, such as the recent financial crisis, the forecast performance is improved by combining the term spread and the stock market information.