Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/127072 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
ISER Discussion Paper No. 932
Verlag: 
Osaka University, Institute of Social and Economic Research (ISER), Osaka
Zusammenfassung: 
This paper revisits the relationships among macroeconomic variables and asset returns. Based on recent developments in econometrics, we categorize competing models of asset returns into different "Equivalence Predictive Power Classes" (EPPC). During the pre-crisis period (1975-2005), some models that emphasize imperfect capital markets outperform an AR(1) for the forecast of housing returns. After 2006, a model that includes both an external finance premium (EFP) and the TED spread "learns and adjusts" faster than competing models. Models that encompass GDP experience a significant decay in predictive power. We also demonstrate that a simulation-based approach is complementary to the EPPC methodology.
Schlagwörter: 
monetary policy
financial market variables
Uni-variate Single-regime Benchmark
Markov Regime Switching
forecasting
JEL: 
E50
G00
R00
Dokumentart: 
Working Paper

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