Losing track of the asset markets: The case of housing and stock

Arbeitspapier

This paper revisits the relationships among macroeconomic variables and asset returns. Based on recent developments in econometrics, we categorize competing models of asset returns into different "Equivalence Predictive Power Classes" (EPPC). During the pre-crisis period (1975-2005), some models that emphasize imperfect capital markets outperform an AR(1) for the forecast of housing returns. After 2006, a model that includes both an external finance premium (EFP) and the TED spread "learns and adjusts" faster than competing models. Models that encompass GDP experience a significant decay in predictive power. We also demonstrate that a simulation-based approach is complementary to the EPPC methodology.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: ISER Discussion Paper ; No. 932

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Monetary Policy, Central Banking, and the Supply of Money and Credit: General ; Financial Economics: General ; Urban, Rural, Regional, Real Estate, and Transportation Economics: General
• Thema: monetary policy ; financial market variables ; Uni-variate Single-regime Benchmark ; Markov Regime Switching ; forecasting

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Chang, Kuang-Liang ; Chen, Nan-Kuang ; Leung, Charles Ka Yui
• Ereignis: Veröffentlichung
• (wer): Osaka University, Institute of Social and Economic Research (ISER)
• (wo): Osaka
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/127072
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ