Financial Information and Macroeconomic Forecasts
Sophia Chen () and
Romain Ranciere
No 2016/251, IMF Working Papers from International Monetary Fund
Abstract:
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.
Keywords: WP; center; no.; standard deviation; No. of obs; GDP deflator; Macroeconomic Forecasting; Financial Markets and the Macroeconomy; Credit Growth; Stock Price; House Price; corporate bond bond yield; house price growth; sovereign bond bond yield; stock price growth; Asset prices; Housing prices; Bond yields; Credit; Government consumption; Global (search for similar items in EconPapers)
Pages: 33
Date: 2016-12-23
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Citations: View citations in EconPapers (6)
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Journal Article: Financial information and macroeconomic forecasts (2019) 
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