Are economic tracking portfolios useful for forecasting output and inflation in Austria?

We construct economic tracking portfolios from Austrian stock market returns, euro/dollar exchange rate changes and changes in the oil price to extract revisions of market expectations about future industrial production growth and inflation in Austria. The forecasting ability of the portfolios is evaluated in-sample and in a pseudo out-of-sample forecasting experiment. It turns out that the tracking portfolios track both target variables in-sample. The portfolios also help to forecast annual industrial production growth out-of-sample. The predictive ability of the tracking portfolios for inflation is rather low.