Forecasts of Economic Growth from the Bond and Stock Markets

By Campbell R. Harvey. 1989

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Citations in the corpus

Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019 (2019, background): “Some financial experts follow the changes in the bond prices to analyze the state of the economy, claiming bond prices represent the health of the economy better than the stock market [165].”
Variance and Skewness in Density Predictions: A World GDP Growth Forecast Assessment (2017, unknown): “…index prices—and other equity indexes—is assumed to be positively associated with anticipated output growth; as per Mitchell and Burns (1938), Fama (1981), Fischer and Merton (1984), Harvey (1989), Jay Choi, Hauser, and Kopecky (1999), Hassapis and Kalyvitis (2002), and Tsouma (2009), among others.”
Bond Risk Premia (2005, unknown): “The affine model is equivalent to risk-neutral pricing with distorted probabilities φ∗ ≡ φ− Σλ1 (20) μ∗ ≡ μ− Σλ0.”
Forecasting recessions using the yield curve (2005, background): “Harvey (1989) and Stock andWatson (1989) signaled the economic slowdown that started in 1989.”
Intertemporal CAPM and the Cross-Section of Stock Returns (2002, unknown): “Harvey and Siddique (2000) and Dittmar (2002) explore the implications for asset prices when these higher-order moments are introduced.”
Coronavirus: Impact on Stock Prices and Growth Expectations (2020, unknown): “A natural starting point may be stock markets, bond markets (Harvey (1989)), and credit markets (Gilchrist and Zakrajsek (2012)).”
Credit Market Shocks and Economic Fluctuations: Evidence from Corporate Bond and Stock Markets (2009, background): “3 Fama [1981], Harvey [1989] , Stock and Watson [1989, 1999], and Estrella and Mishkin [1998] examine”