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THE SECURITIES CUSTODY INDUSTRY

Fornari and Mele (2009) provide a detailed assessment of the out of sample forecasting ability of univariate linear and non linear models which rely on financial indicators. Overall, their conclusion is that the term spread, together with a time-varying measure of stock market volatility, does a rather good job in anticipating the rates of change in the US post-War industrial production index. However, nearly all of the combinations of variables they look at have their moment of popularity, so that what is eventually judged to be the best model is not the best model consistently across the sample. This finding cannot but confirm that recessions are. | EUROPEAN CENTRAL BANK EUROSYSTEM THE SECURITIES CUSTODY INDUSTRY OCCASIONAL PAPER SERIES by Diana Chan Florence Fontan Simonetta Rosati and Daniela Russo NO 68 AUGUST 2007 EUROPEAN CENTRAL BANK EUROSYSTEM OCCASIONAL PAPER SERIES NO 68 I AUGUST 2007 THE SECURITIES CUSTODY INDUSTRY by Diana Chan 1 Florence Fontan 2 Simonetta Rosati3 and Daniela Russo3 In 2007 all ECB publications feature a motif taken from the 20 banknote. This paper can be downloaded without charge from http www.ecb.int or from the Social Science Research Network electronic library at http ssrn.com abstract_id 977359. We would like to thank Klaus Lober from ECB Mr Rony Hamaui from Banco Intesa and Mrs Sophie Gautié from BNP Paribas Securities Settlement for their review and useful comments. The views expressed by the authors do not necessarily reflect those of the European Central Bank Citigroup nor BNP Securities Services. I Citigroup London 2 BNP Paribas Securities Services Paris 3 European Central Bank Frankfurt European Central Bank 2007 Address Kaiserstrasse 29 60311 Frankfurt am Main Germany Postal address Postfach 16 03 19 60066 Frankfurt am Main Germany Telephone 49 69 1344 0 Website http www.ecb.int Fax 49 69 1344 6000 Telex 411 144 ecb d All rights reserved. Any reproduction publication or 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 author s . The views expressed in this paper do not necessarily reflect those of the European Central Bank. ISSN 1607-1484 print ISSN 1725-6534 online