Author: Ellis William Tallman
Publisher:
ISBN:
Category : Australia
Languages : en
Pages : 52
Book Description
This paper examines whether financial aggregates provide information useful for predicting real output growth and inflation, extending the inquiry conducted in Tallman and Chandra (1996). First, we investigate whether perfect knowledge of the future values of financial aggregates helps improve significantly the forecasting accuracy of output and inflation in a simple vector autoregression framework. The results display only one notable improvement to the forecasts with the addition of perfect information on the financial aggregates future information on credit growth helps improve the prediction accuracy of real output growth. The improvement is most noticeable during the early 1990s recession. Second, we test whether the financial aggregates are important explanators within single-equation models that are more rigorously fitted to the data. We find only one instance in which an aggregate helps explain the variation in either real output growth or inflation that is, the growth in credit helps explain the growth in real output in a particular specification of the output model. This finding, though, is sensitive to the choice of foreign output proxy. In sum, we conclude that while credit may have some useful information in times of financial restructuring it is unlikely that there is information in financial aggregates that is exploitable systematically for predicting either real output growth or inflation.
Financial Aggregates as Conditioning Information for Australian Output and Inflation
Author: Ellis William Tallman
Publisher:
ISBN:
Category : Australia
Languages : en
Pages : 52
Book Description
This paper examines whether financial aggregates provide information useful for predicting real output growth and inflation, extending the inquiry conducted in Tallman and Chandra (1996). First, we investigate whether perfect knowledge of the future values of financial aggregates helps improve significantly the forecasting accuracy of output and inflation in a simple vector autoregression framework. The results display only one notable improvement to the forecasts with the addition of perfect information on the financial aggregates future information on credit growth helps improve the prediction accuracy of real output growth. The improvement is most noticeable during the early 1990s recession. Second, we test whether the financial aggregates are important explanators within single-equation models that are more rigorously fitted to the data. We find only one instance in which an aggregate helps explain the variation in either real output growth or inflation that is, the growth in credit helps explain the growth in real output in a particular specification of the output model. This finding, though, is sensitive to the choice of foreign output proxy. In sum, we conclude that while credit may have some useful information in times of financial restructuring it is unlikely that there is information in financial aggregates that is exploitable systematically for predicting either real output growth or inflation.
Publisher:
ISBN:
Category : Australia
Languages : en
Pages : 52
Book Description
This paper examines whether financial aggregates provide information useful for predicting real output growth and inflation, extending the inquiry conducted in Tallman and Chandra (1996). First, we investigate whether perfect knowledge of the future values of financial aggregates helps improve significantly the forecasting accuracy of output and inflation in a simple vector autoregression framework. The results display only one notable improvement to the forecasts with the addition of perfect information on the financial aggregates future information on credit growth helps improve the prediction accuracy of real output growth. The improvement is most noticeable during the early 1990s recession. Second, we test whether the financial aggregates are important explanators within single-equation models that are more rigorously fitted to the data. We find only one instance in which an aggregate helps explain the variation in either real output growth or inflation that is, the growth in credit helps explain the growth in real output in a particular specification of the output model. This finding, though, is sensitive to the choice of foreign output proxy. In sum, we conclude that while credit may have some useful information in times of financial restructuring it is unlikely that there is information in financial aggregates that is exploitable systematically for predicting either real output growth or inflation.
The Information Content of Financial Aggregates in Australia
Author: Ellis William Tallman
Publisher:
ISBN:
Category : Australia
Languages : en
Pages : 56
Book Description
This paper examines the information provided by financial aggregates as predictors of real output and inflation. We employ vector autoregression (VAR) techniques to summarise the information in the data, providing evidence on the incremental forecasting value of financial aggregates in a range of forecasting systems for these variables. The in-sample results suggest significant predictive power in only a small number of cases. We then test the forecast performance of the VAR systems for two years out-of-sample in order to mimic more closely the real-time forecasting problem faced by policymakers. Overall, both in-sample and out-of-sample results suggest no robust finding of exploitable information for forecasting purposes in any of the financial aggregates under examination. There is some evidence that the aggregates yield improved forecasts late in the sample period, but there is insufficient subsequent data to draw robust conclusions from this.
Publisher:
ISBN:
Category : Australia
Languages : en
Pages : 56
Book Description
This paper examines the information provided by financial aggregates as predictors of real output and inflation. We employ vector autoregression (VAR) techniques to summarise the information in the data, providing evidence on the incremental forecasting value of financial aggregates in a range of forecasting systems for these variables. The in-sample results suggest significant predictive power in only a small number of cases. We then test the forecast performance of the VAR systems for two years out-of-sample in order to mimic more closely the real-time forecasting problem faced by policymakers. Overall, both in-sample and out-of-sample results suggest no robust finding of exploitable information for forecasting purposes in any of the financial aggregates under examination. There is some evidence that the aggregates yield improved forecasts late in the sample period, but there is insufficient subsequent data to draw robust conclusions from this.
A Transitional Analysis of the Welfare Cost of Inflation
Author: Clark A. Burdick
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 56
Book Description
Publisher:
ISBN:
Category : Inflation (Finance)
Languages : en
Pages : 56
Book Description
Economic Papers
Author:
Publisher:
ISBN:
Category : Australia
Languages : en
Pages : 456
Book Description
Publisher:
ISBN:
Category : Australia
Languages : en
Pages : 456
Book Description
Macroeconomic Fluctuations in Europe
Author: Peter R. Hartley
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 52
Book Description
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 52
Book Description
Bulletin
Author:
Publisher:
ISBN:
Category : Australia
Languages : en
Pages : 700
Book Description
Publisher:
ISBN:
Category : Australia
Languages : en
Pages : 700
Book Description
The Fed in Print
Author:
Publisher:
ISBN:
Category : Business
Languages : en
Pages : 76
Book Description
Publisher:
ISBN:
Category : Business
Languages : en
Pages : 76
Book Description
Economic Review
Author: Federal Reserve Bank of Atlanta
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 288
Book Description
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 288
Book Description
Normalization, Probability Distribution, and Impulse Responses
Author: Daniel F. Waggoner
Publisher:
ISBN:
Category : Mathematical statistics
Languages : en
Pages : 34
Book Description
Publisher:
ISBN:
Category : Mathematical statistics
Languages : en
Pages : 34
Book Description
Forecast Errors and Financial Developments
Author: Palle Schelde Andersen
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 64
Book Description
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 64
Book Description