Forecasting Output and Inflation: The Role of Asset Prices

By James H. Stock, Mark W. Watson. 2003

1,749 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c8df589cdf501e8a0cece10899eda6280e46744b

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Citations in the corpus

Asset prices, financial conditions and the transmission of monetary policy (2001, methodology): “Following Stock and Watson (1999, 2000) we choose the h-step ahead projection approach to forecast inflation 8 quarters ahead for the time period 1984:1 – 1998:4.”
In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? (2005, background): “Other applications include tests of the predictive content of advertising for consumer spending (see Ashley et al, 1980 ), the predictive content of money for output (see Amato and Swanson, 2001 ), the predictive content of output-gap measures for inflation (see Clark, 2004 ), and the predictive ”
The Term Structure of Inflation Expectations (2012, background): “Part of the literature on macroeconomic forecasting focuses on predicting inflation from the prices of financial assets, notably the short rate and the term spread, in the regression framework (see Stock and Watson (2003) for a comprehensive survey).”
On the Selection of Forecasting Models (2006, neutral): “! + ln(T/R) T − R dim(α )+ op (1), ( 24 ) from which the results for parts (a) and (b) follow.”
Leading Indicators for Euro-area Inflation and GDP Growth (2005, positive): “Another important benefit is that the evaluation is robust to structural changes over the forecast samples, which are quite frequent, see e.g. Stock and Watson (2001).”
Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better? (2007, neutral): “Previous studies employing term structure data mostly use only the term spread in simple OLS regressions and usually do not use all available term structure data (see, for example, Mishkin, 1990, 1991; Jorion and Mishkin, 1991; Stock and Watson, 2003).”
Forecasting oil and stock returns with a Qual VAR using over 150 years of data (2017, neutral): “More recent studies followed, like Estrella and Mishkin (1998), Stock and Watson (2003), Rapach and Weber (2004) Nyberg (2011), and have been surveyed in detail in Erdogan et al., (2015), and Balcilar, Gupta and Wohar (forthcoming).”
Bayesian Model Averaging and exchange rate forecasts (2003, methodology): “Stock and Watson (2001, 2002a) however argue that the best predictive performance is obtained by constructing forecasts from a very large number of models and simply averaging these forecasts.”
Combination forecasts of output growth in a seven-country data set (2004, background): “Individual and simple combination forecasts The individual forecasts for the seven-country data set are discussed and analysed in detail in Stock and Watson (2003).”
Identifying the interdependence between US monetary policy and the stock market (2005, neutral): “5 Svensson and Söderlind (1997) review different methods of obtaining information through the use of asset-price information.”
Are more data always better for factor analysis (2006, methodology): “Stock and Watson (2002b), and Chan, Stock and Watson (1998) showed that the forecast errors of many”