Predictive ability of financial variables in changing economic circumstances
| Autor: | Jaana Rahko, Juuso Vataja, Petri Kuosmanen |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2019 |
| Předmět: |
Finance
Economics and Econometrics 050208 finance ta511 Stock market volatility business.industry media_common.quotation_subject 05 social sciences Zero lower bound Interest rate 0502 economics and business Economics Predictive power Business cycle Stock market 050207 economics business Stock (geology) media_common |
| Zdroj: | North american journal of economics and finance. 47(1):37-47 |
| ISSN: | 1062-9408 |
| Popis: | We analyze three key financial variables, the term spread, real stock returns and the real short-term interest rate, and study which economic factors underlie changes in their predictive power for GDP growth in a large set of industrialized countries. Our results show that the enhanced predictive content of financial variables is connected to increased GDP and stock market volatility as well as turning points in business cycles. Periods with a zero lower bound of interest rates appear to reduce the predictive ability of stock markets. Moreover, we find qualified evidence that inflation persistence increases the predictive content of financial variables. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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