While a host of economic variables have been identified in the literature with the apparent in-sample ability to predict the equity premium, Goyal and Welch (2008) find that these variables fail to deliver consistent out-of-sample forecasting gains relative to the historical average. Arguing...

The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. We selectively survey the empirical literature that examines the...

In this paper, we use recent developments in the testing of long-run neutrality propositions to measure the long-run response of real stock prices to a permanent inflation shock for 16 individual industrialized countries. The estimation results provide considerable support for long-run inflation...

In this article we examine the structural stability of predictive regression models of U.S. quarterly aggregate real stock returns over the postwar era. We consider predictive regressions models of Samp;P 500 and CRSP equal-weighted real stock returns based on eight financial variables that...

Given the marked differences in housing price growth across USregions since the mid-1990s, we investigate forecasts of state-level real housing price growth for 1995-2006. We evaluate forecasts from an autoregressive benchmark model as well as models based on a host of state, regional, and...

We forecast US state-level employment growth using several distinct econometric approaches: combinations of individual autoregressive distributed lag models, general-to-specific modeling with bootstrap aggregation (GETS-bagging), and approximate factor (or “beta”) models. Our results show...

We examine different approaches to forecasting monthly US employment growth in the presence of many potentially relevant predictors. We first generate simulated out-of-sample forecasts of US employment growth at multiple horizons using individual autoregressive distributed lag (ARDL) models...

Welch and Goyal (2008) find that numerous economic variables with in-sample predictive ability for the equity premium fail to deliver consistent out-of-sample forecasting gains relative to the historical average. Arguing that model uncertainty and instability seriously impair the forecasting...

We investigate the empirical relevance of structural breaks for GARCH models of exchange rate volatility using both in-sample and out-of-sample tests. We find significant evidence of structural breaks in the unconditional variance of seven of eight US dollar exchange rate return series over the...