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WORKING PAPER SERIES NO 1343 / MAY 2011
THE PREDICTIVE CONTENT
OF SECTORAL STOCK PRICES
A US-EURO AREA COMPARISON
by Magnus Andersson, Antonello D’Agostino, Gabe J. de Bondt
and Moreno Roma
WORKING PAPER SERIES NO 1343 / MAY 2011
THE PREDICTIVE CONTENT OF SECTORAL STOCK PRICES
A US-EURO AREA COMPARISON 1
by Magnus Andersson, Antonello D’Agostino, Gabe J. de Bondt and Moreno Roma 2
NOTE: This Working Paper should not be reported as representing the views of the European Central Bank (ECB).
The views expressed are those of the authors and do not necessarily reflect those of the ECB.
In 2011 all ECB publications feature a motif taken from
the €100 banknote.
This paper can be downloaded without charge from http://www.ecb.europa.eu or from the Social Science Research Network electronic library at http://ssrn.com/abstract_id=1840568.
1 We are grateful for comments received at an internal ECB seminar and from Julian Morgan and an anonymous referee. 2 All authors: European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany;
e-mail addresses: magnus.andersson@ecb.europa.eu; antonello.dagostino@ecb.europa.eu; gabe.de_bondt@ecb.europa.eu and moreno.roma@ecb.europa.eu
© European Central Bank, 2011
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ISSN 1725-2806 (online)
CONTENTS
Abstract 4 Non-technical summary 5 1 Introduction 7 2 Theoretical background 9
3 Methodology 11 3.1 Data 11 3.2 Basic forecast model 12
4 Empirical results 14 4.1 Out-of-sample predictions 14 4.2 Forecast performance relative
to bond market indicators 17
5 Alternative forecast models 19 6 Conclusions 22 References 23 Appendix 26
ECB Working Paper Series No 1343
May 2011
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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.
JEL classification: C53; E37; G12
Keywords: forecasting real GDP, consumption and investment; sectoral stock prices; stock market valuation metrics; US; Euro Area
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Working Paper Series No 1343 May 2011
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