Arbeitspapier
Are sectoral stock prices useful for predicting euro area GDP?
This paper evaluates how well sectoral stock prices forecast future economic activity compared to traditional predictors such as the term spread, dividend yield, exchange rates and money growth. The study is applied to euro area financial asset prices and real economic growth, covering the period 1973 to 2006. The paper finds that the term spread is the best predictor of future growth in the period leading up to the introduction of Monetary Union. After 1999, however, sectoral stock prices in general provide more accurate forecasts than traditional asset price measures across all forecast horizons.
- Language
-
Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 876
- Classification
-
Wirtschaft
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
- Subject
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asset prices
forecasting models
Börsenkurs
Wirtschaftswachstum
Prognoseverfahren
Theorie
EU-Staaten
- Event
-
Geistige Schöpfung
- (who)
-
Andersson, Magnus
D’Agostino, Antonello
- Event
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Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
-
Frankfurt a. M.
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Andersson, Magnus
- D’Agostino, Antonello
- European Central Bank (ECB)
Time of origin
- 2008
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