Forecasting the macroeconomy with current financial market information : Europe and the United States

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dc.contributor Suomen Pankki
dc.contributor.author Junttila, Juha
dc.date.accessioned 2014-09-22T07:58:12Z
dc.date.available 2014-09-22T07:58:12Z
dc.date.issued 2002
dc.identifier.isbn 951-686-765-0
dc.identifier.issn 0785-3572
dc.identifier.uri https://helda.helsinki.fi/bof/handle/123456789/7542
dc.description.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
dc.format.extent 70 s.
dc.language.iso eng
dc.relation.ispartofseries Bank of Finland Research Discussion Papers
dc.rights https://helda.helsinki.fi/bof/copyright
dc.subject ennusteet
dc.subject makrotaloustiede
dc.subject USA
dc.subject Saksa
dc.subject rahoitusmarkkinat
dc.subject euroalue
dc.subject Italia
dc.subject Ranska
dc.subject informaatio
dc.subject inflaatio
dc.subject mallit
dc.subject tuotanto
dc.subject kansantaloustiede
dc.subject SP
dc.subject VAR
dc.title Forecasting the macroeconomy with current financial market information : Europe and the United States
dc.type Sarjajulkaisu
dc.identifier.urn URN:NBN:fi:bof-20140807322
dc.series.name Bank of Finland. Discussion papers
dc.series.year 2002
dc.series.number 2/2002
dc.series.sortingnumber 2
dc.date.publication 18.2.2002

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