Financial Information and Macroeconomic Forecasts
Electronic Access:
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Summary:
We study the forecasting power of financial variables for macroeconomic variables for 62 countries between 1980 and 2013. We find that financial variables such as credit growth, stock prices and house prices have considerable predictive power for macroeconomic variables at one to four quarters horizons. A forecasting model with financial variables outperforms the World Economic Outlook (WEO) forecasts in up to 85 percent of our sample countries at the four quarters horizon. We also find that cross-country panel models produce more accurate out-of-sample forecasts than individual country models.
Series:
Working Paper No. 2016/251
Subject:
Asset prices Bond yields Credit Financial institutions Government consumption Housing prices Money National accounts Prices Yield curve
English
Publication Date:
December 23, 2016
ISBN/ISSN:
9781475563177/1018-5941
Stock No:
WPIEA2016251
Pages:
33
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