A large set of macroeconomic variables have been suggested as equity risk premium predictors in the literature. This paper proposes a forecasting approach for the equity risk premium with two novel features. First, individual month-ahead forecasts are obtained from parsimonious threshold...

We survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts. We focus on U.S. equity premium forecastability and illustrate key issues via an empirical application based on updated data. Some studies...

Academic research has extensively used macroeconomic variables to forecast the U.S. equity risk premium, with little attention paid to the technical indicators widely employed by practitioners. Our paper fills this gap by comparing the forecasting ability of technical indicators with that of...

We construct a framework for measuring economic activity at high frequency, potentially in real time. We use a variety of stock and flow data observed at mixed frequencies (including very high frequencies), and we use a dynamic factor model that permits exact filtering. We illustrate the...

The chapter deals with parametric models for the measurement of the business cycle in economic time series. It presents univariate methods based on parametric trend - cycle decompositions and multivariate models featuring a Phillips type relationship between the output gap and inflation and the...

We construct a framework for measuring economic activity in real time (e.g., minute-by-minute), using a variety of stock and flow data observed at mixed frequencies. Specifically, we propose a dynamic factor model that permits exact filtering, and we explore the efficacy of our methods both in a...

Much has been written about why economists failed to predict the latest financial and real crisis. Reading the recent literature, it seems that the crisis was so obvious that economists must have been blind when looking at data not to see it coming. In this paper, we analyze whether such claims...

This paper aims to assess the possibility of predicting Croatian recessionary episodes using probit models. The authors first estimate a baseline static model using four leading indicators of recession (monetary base, unemployment, industrial production, and CROBEX stock market index). Lag...

We study the real-time Granger-causal relationship between crude oil prices and US GDP growth through a simulated out-of-sample (OOS) forecasting exercise; we also provide strong evidence of in-sample predictability from oil prices to GDP. Comparing our benchmark model "without oil" against...