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Do equity index industry groups improve forecasts of inflation and production? A US analysis
7 references·1 citing·40 second hop
Do equity index industry groups improve forecasts of inflation and production? A US analysis (2005)Do equity index industry groups improve f…Combination forecasts of output growth in a seven‐country data set (2004)Combination forecasts of outp…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Vector Autoregressions (2001)Vector AutoregressionsLag length selection in vector autoregressive models: symmetric and asymmetric lags (1999)Lag length selection in vecto…Does the stock market predict real activity? Time series evidence from the G-7 countries (1999)Does the stock market predict…Are financial spreads useful indicators of future inflation and output growth in EU countries? (1997)Are financial spreads useful …Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Interest and Inflation Risk: Investor Behavior (2016)Interest and Inflation Risk: …Agency Costs, Net Worth, And Business Fluctuations (1988)Evidence on Structural Instability in Macroeconomic Time Series Relations (1994)Background studies for the ECB's evaluation of its monetary policy strategy (2003)Does the Yield Spread Predict Recessions in the Euro Area?* (2005)Dynamic probit models and financial variables in recession forecasting (2009)Testing for causality (1980)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Stock Returns, Expected Returns, and Real Activity (1990)Stock returns and output growth in emerging and advanced economies (2003)Wavelet analysis of stock returns and aggregate economic activity (2007)Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? (2010)Alternative Explanations of the Money-Income Correlation (1986)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Introduction to Multiple Time Series Analysis (1993)R&D intensity, firm performance and the identification of the threshold: fresh evidence from the panel threshold regression model (2008)“Ripple effects” and forecasting home prices in Los Angeles, Las Vegas, and Phoenix (2010)Losses Loom Longer than Gains: Modeling the Impact of Service Crises on Perceived Service Quality over Time (2015)The Combination of Forecasts (1969)Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Forecasting Stock Returns (2013)Deep neural networks, gradient-boosted trees, random forests: Statistical arbitrage on the S&P 500 (2016)The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model (1999)Household Finance (2006)Comparing Predictive Accuracy (1994)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)Credit Spreads and Business Cycle Fluctuations (2012)Macroeconomics and Reality (1980)Discretion versus policy rules in practice (1993)The Science of Monetary Policy: A New Keynesian Perspective (1999)Estimating the Effects of Fiscal Policy in OECD Countries (2003)Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2013)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)
this work references cited by second hop

References

  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
  • 2001Vector Autoregressions1,168 cited
  • 2004Combination forecasts of output growth in a seven‐country data set1,138 cited
  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,076 cited
  • 1999Does the stock market predict real activity? Time series evidence from the G-7 countries158 cited
  • 1997Are financial spreads useful indicators of future inflation and output growth in EU countries?155 cited
  • 1999Lag length selection in vector autoregressive models: symmetric and asymmetric lags91 cited

Cited by

  • 2016Interest and Inflation Risk: Investor Behavior20 cited

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