Andersson, Magnus D’Agostino, Antonello de Bondt, Gabe Roma, Moreno
Year of Publication:
ECB Working Paper 1343
This paper examines the out‐of‐sample forecast performance of sectoral stock market indicators for real GDP, private consumption and investment growth up to 4 quarters ahead in the US and the euro area. Our findings are that the predictive content of sectoral stock market indicators: i) is potentially strong, particularly for the financial sector, and is stronger than that of financial spreads; ii) varies over time, with a substantial improvement after 1999 for the euro area; iii) is stronger for investment than for private consumption; and iv) is stronger in the euro area than in the United States.
consumption and investment euro area forecasting real GDP sectoral stock prices stock market valuation metrics US