TAILIEUCHUNG - ARE SECTORAL STOCK PRICES USEFUL FOR PREDICTING EURO AREA GDP?

The purpose of this paper is to evaluate if Önancial asset prices and, in par- ticular, sectoral stock prices can help to predict real economic growth. The study is applied to euro area Önancial market prices and real economic growth over the sample 1973 to 2006. The evaluation of the predictive power between the Önan- cial assets is based on the relative improvements in the Mean Square Forecast Errors (MSFE) compared to the MSFE of a simple optimal autoregressive (AR) model, in an out-of-sample forecasting exercise. To test if the inclusion of the Önancial assets signiÖcantly improves the MSFE or not, a test of equal predictive accuracy proposed. | EUROPEAN CENTRAL BANK EUROSYSTEM WORKING PAPER SERIES NO 876 I FEBRUARY 2008 by Magnus Andersson and Antonello D Agostino ARE SECTORAL STOCK PRICES USEFUL FOR PREDICTING EURO AREA GDP EUROPEAN CENTRAL BANK EUROSYSTEM WORKING PAPER SERIES NO 876 I FEBRUARY 2008 ARE SECTORAL STOCK PRICES USEFUL FOR PREDICTING EURO AREA GDP 1 Magnus Andersson 2 and Antonello D Agostino 3 In 2008 all ECB publications feature a motif taken from the 10 banknote. This paper can be downloaded without charge from http or from the Social Science Research Network electronic library at http abstract_id 1091145. I The paper has benefited from useful discussions and suggestions from Francesco Drudi Boris Hofmann Hans-Joachim Klockers Manfred Kremer and seminar participants at the ECB. The views expressed in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the ECB or the Central Bank and Financial Services Authority of Ireland. Any remaining errors are the authors responsibility. 2 Corresponding author Magnus Andersson European Central Bank Capital Markets and Financial Structure Division Postfach I6 03 I9 600 66 Frankfurt am Main Germany e-mail 3 Central Bank and Financial Services Authority of Ireland Economic Analysis and Research Department PO Box 559 Dame Street Dublin 2 Ireland e-mail European Central Bank 2008 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 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 author s . The views expressed in this paper do not necessarily reflect those of the European Central .

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