Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/211906 
Authors: 
Year of Publication: 
2002
Series/Report no.: 
Bank of Finland Discussion Papers No. 2/2002
Publisher: 
Bank of Finland, Helsinki
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.
Subjects: 
financial markets
forecasting
macroeconomy
euro area
USA
Persistent Identifier of the first edition: 
ISBN: 
951-686-765-0
Document Type: 
Working Paper

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