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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 Address Kaiserstrasse 29 60311 Frankfurt am Main, Germany Postal address Postfach 16 03 19 60066 Frankfurt am Main, Germany Telephone +49 69 1344 0 Internet http://www.ecb.europa.eu Fax +49 69 1344 6000 All rights reserved. Any reproduction, publication and reprint in the form of a different publication, whether printed or produced electronically, in whole or in part, is permitted only with the explicit written authorisation of the ECB or the authors. Information on all of the papers published in the ECB Working Paper Series can be found on the ECB’s website, http://www. ecb.europa.eu/pub/scientific/wps/date/ html/index.en.html 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 3 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 ȱ ȱ ȱ ȱ ȱ ȱ ȱ ȱ ȱ ȱ ȱ 4 ECB Working Paper Series No 1343 May 2011 ... - tailieumienphi.vn
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