Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/211970 
Authors: 
Year of Publication: 
2004
Series/Report no.: 
Bank of Finland Discussion Papers No. 2/2004
Publisher: 
Bank of Finland, Helsinki
Abstract: 
This study presents a framework for extracting long-run GDP growth and inflation expectations from financial market data on a real-time basis.The framework uses information from both stock and bond markets.It builds on a dividend discount model of stock valuation and on a linearized consumption Euler equation. Furthermore, expected long-run dividend growth for a broad equity index is assumed to be related to expected long-run GDP growth. Short-run and long-run dividend growth expectations are allowed to differ.The former are measured using equity index futures.We extract growth and inflation expectations for the euro area and for the United States.
Subjects: 
inflation expectations
growth expectations
equity index futures
JEL: 
E31
E44
E66
Persistent Identifier of the first edition: 
ISBN: 
952-462-117-7
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.