Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153777
Authors: 
Andersson, Magnus
D’Agostino, Antonello
de Bondt, Gabe
Roma, Moreno
Year of Publication: 
2011
Series/Report no.: 
ECB Working Paper 1343
Abstract: 
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.
Subjects: 
consumption and investment
euro area
forecasting real GDP
sectoral stock prices
stock market valuation metrics
US
JEL: 
C53
E37
G12
Document Type: 
Working Paper

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