Balance sheets of financial intermediaries: Do they forecast economic activity?

Rodrigo Sekkel

International Journal of Forecasting, 2015, vol. 31, issue 2, 263-275

Abstract: This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets for a wide range of economic activity measures in the United States. I find evidence that the balance sheets of leveraged financial institutions do have out-of-sample predictive power for future economic activity, and this predictability arises mainly through the housing sector. Nevertheless, I show that these variables have very little predictive power during periods of economic expansion, with predictability arising mainly during the financial crisis period.

Keywords: Financial intermediaries; Forecasting; Macro financial linkages (search for similar items in EconPapers)
Date: 2015
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Working Paper: Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity? (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:31:y:2015:i:2:p:263-275

DOI: 10.1016/j.ijforecast.2014.07.003

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