IMF Working Papers

Financial Information and Macroeconomic Forecasts

By Sophia Chen, Romain Ranciere

December 23, 2016

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Sophia Chen, and Romain Ranciere. Financial Information and Macroeconomic Forecasts, (USA: International Monetary Fund, 2016) accessed December 3, 2024
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Asset prices, Bond yields, Credit, Financial institutions, Government consumption, Housing prices, Money, National accounts, Prices, Yield curve

Keywords: Asset prices, Bond yields, Center, Corporate bond bond yield, Credit, Credit Growth, Financial Markets and the Macroeconomy, GDP deflator, Global, Government consumption, House Price, House price growth, Housing prices, Macroeconomic Forecasting, No., No. of obs, Sovereign bond bond yield, Standard deviation, Stock Price, Stock price growth, WP

Publication Details

  • Pages:

    33

  • Volume:

    ---

  • DOI:

    ---

  • Issue:

    ---

  • Series:

    Working Paper No. 2016/251

  • Stock No:

    WPIEA2016251

  • ISBN:

    9781475563177

  • ISSN:

    1018-5941