Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103018
Authors: 
Sekkel, Rodrigo M.
Year of Publication: 
2014
Series/Report no.: 
Bank of Canada Working Paper 2014-40
Abstract: 
This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries' balance sheets to a wide range of economic activity measures in the United States. I find evidence that the balance sheets of leveraged financial institutions do have out-of-sample predictive power for future economic activity, and this predictability arises mainly through the housing sector. Nevertheless, I show that these variables have very little predictive power during periods of economic expansions and that predictability arises mainly during the financial crisis period.
Subjects: 
Econometric and statistical methods
JEL: 
C53
Document Type: 
Working Paper

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