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
Series: ECB Working Paper ; No. 876

Classification
Wirtschaft
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Subject
asset prices
forecasting models
Börsenkurs
Wirtschaftswachstum
Prognoseverfahren
Theorie
EU-Staaten

Event
Geistige Schöpfung
(who)
Andersson, Magnus
D’Agostino, Antonello
Event
Veröffentlichung
(who)
European Central Bank (ECB)
(where)
Frankfurt a. M.
(when)
2008

Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Andersson, Magnus
  • D’Agostino, Antonello
  • European Central Bank (ECB)

Time of origin

  • 2008

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