Cover IMF Working Papers
Financial Information and Macroeconomic Forecasts
Author: Sophia Chen and Mr. Romain Ranciere
Series:
IMF Working Papers
Volume/Issue:
Volume 2016: Issue 251
Language:
English
Publication Date:
23 Dec 2016
DOI:
https://doi.org/10.5089/9781475563177.001
ISBN:
9781475563177
ISSN:
1018-5941
Pages:
33
Keywords:
WP; center; no.; standard deviation; No. of obs; GDP deflator; Macroeconomic Forecasting; Financial Markets and the Macroeconomy; Credit Growth; Stock Price; House Price; corporate bond bond yield; house price growth; sovereign bond bond yield; stock price growth; Asset prices; Housing prices; Bond yields; Credit; Government consumption; Global
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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We study the forecasting power of financial variables for macroeconomic variables for 62 countries between 1980 and 2013. We find that financial variables such as credit growth, stock prices and house prices have considerable predictive power for macroeconomic variables at one to four quarters horizons. A forecasting model with financial variables outperforms the World Economic Outlook (WEO) forecasts in up to 85 percent of our sample countries at the four quarters horizon. We also find that cross-country panel models produce more accurate out-of-sample forecasts than individual country models.
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund