IDEAS home Printed from https://ideas.repec.org/a/oup/ecinqu/v40y2002i1p80-90.html
   My bibliography  Save this article

Financial Market Variables do not Predict Real Activity: Further Evidence

Author

Listed:
  • Christian E. Weber

Abstract

Previous studies argue that financial variables do not help forecast U.S. output growth. F statistics for excluding financial variables from output growth equations depend on the sample period and the inclusion of 1974:12 in the sample. Also, an autoregressive model of output growth often provides better forecasts than models with lagged financial variables included. I decompose output into permanent and cyclical components and ask whether financial variables help forecast either component in isolation. The paper-bill spread does improve in-sample forecasts of cyclical output, but no financial variable helps forecast either cyclical output or permanent output growth out of sample. Copyright 2002, Oxford University Press.

Suggested Citation

  • Christian E. Weber, 2002. "Financial Market Variables do not Predict Real Activity: Further Evidence," Economic Inquiry, Western Economic Association International, vol. 40(1), pages 80-90, January.
    • Handle: RePEc:oup:ecinqu:v:40:y:2002:i:1:p:80-90
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:ehl:lserod:56407 is not listed on IDEAS
    2. Zhou, Wei-Xing & Sornette, Didier, 2004. "Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 586-608.
    3. Gerba, Eddie, 2015. "Have the US macro-financial linkages changed? The balance sheet dimension," LSE Research Online Documents on Economics 59886, London School of Economics and Political Science, LSE Library.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:ecinqu:v:40:y:2002:i:1:p:80-90. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/weaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.