Financial information and macroeconomic forecasts

Sophia Chen () and Romain Ranciere

International Journal of Forecasting, 2019, vol. 35, issue 3, 1160-1174

Abstract: We study the forecasting power of financial variables for macroeconomic variables in 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 the one- to four-quarter horizons. A forecasting model that includes financial variables outperforms the World Economic Outlook (WEO) forecasts in up to 85% of our sample countries at the four-quarter horizon. We also find that cross-country panel models produce more accurate out-of-sample forecasts than individual country models.

Keywords: Macroeconomic forecasting; Financial markets and the macroeconomy; Credit growth; Stock prices; House prices (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0169207019300548
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Financial Information and Macroeconomic Forecasts (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:35:y:2019:i:3:p:1160-1174

DOI: 10.1016/j.ijforecast.2019.03.005

Access Statistics for this article

International Journal of Forecasting is currently edited by R. J. Hyndman

More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Catherine Liu ().