Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?

Rodrigo Sekkel

Staff Working Papers from Bank of Canada

Abstract: This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to 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 expansions and that predictability arises mainly during the financial crisis period.

Keywords: Econometric; and; statistical; methods (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2014
New Economics Papers: this item is included in nep-for
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Related works:
Journal Article: Balance sheets of financial intermediaries: Do they forecast economic activity? (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:14-40

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