Forecasting the macroeconomy with current financial market information : Europe and the United States
Show full item record
Title:
|
Forecasting the macroeconomy with current financial market information : Europe and the United States |
Author:
|
Junttila, Juha
|
Organization:
|
Suomen Pankki
|
Series:
|
Bank of Finland. Discussion papers
|
Series number:
|
2/2002 |
Year of publication:
|
2002 |
Publication date:
|
18.2.2002 |
Pages:
|
70 s. |
Keywords:
|
ennusteet; makrotaloustiede; USA; Saksa; rahoitusmarkkinat; euroalue; Italia; Ranska; informaatio; inflaatio; mallit; tuotanto; kansantaloustiede; VAR
|
Abstract:
|
Using recently developed modelling methodology of Economic Tracking Portfolios (ETP), we find that it is possible to forecast future values of inflation and changes in industrial production in the United States and at least three core euro countries - Italy, France and Germany - utilising only current and past financial market information.The longer the forecasting horizon, the better the forecasts based solely on financial market information compared to results from other methods.Of the analysed countries, the overall forecasting performance of the tracking portfolios is the best for the United States, and the method employed here clearly outperforms the forecasting performance of a more traditional VAR approach. Key words: financial markets, forecasting, macroeconomy, euro area, USA |
Rights:
|
https://helda.helsinki.fi/bof/copyright
|
Files in this item
Total number of downloads: Loading...
This item appears in the following Collection(s)
Show full item record