Jansen, Dennis W.; Wang, Zijun - In: Econometric analysis of financial and economic time series, (pp. 179-204). 2006
The “Fed Model” postulates a cointegrating relationship between the equity yield on the S&P 500 and the bond yield. We evaluate the Fed Model as a vector error correction forecasting model for stock prices and for bond yields. We compare out-of-sample forecasts of each of these two variables...
