Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7408420 | International Journal of Forecasting | 2015 | 13 Pages |
Abstract
This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries' balance sheets for a wide range of economic activity measures in the United States. I find evidence that the balance sheets of leveraged financial institutions do have out-of-sample predictive power for future economic activity, and this predictability arises mainly through the housing sector. Nevertheless, I show that these variables have very little predictive power during periods of economic expansion, with predictability arising mainly during the financial crisis period.
Keywords
Related Topics
Social Sciences and Humanities
Business, Management and Accounting
Business and International Management
Authors
Rodrigo M. Sekkel,