Do Stock Prices Contain Predictive Power for the Future Economic Activity? A Granger Causality Analysis in the Frequency Domain

Christophe Croux, P. Reusens
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引用次数: 74

Abstract

This paper investigates the predictive power for future domestic economic activity included in domestic stock prices, using a Granger causality analysis in the frequency domain. We are able to evaluate whether the predictive power is concentrated at the slowly fluctuating components or at the quickly fluctuating components. Using quarterly data for the G-7 countries, we found that the slowly fluctuating components of the stock prices have large predictive power for the future GDP, while this is not the case for the quickly fluctuating components. This finding holds both in a single-country setting and in a multi-country setting. Therefore, macro-economic policy makers could use the slowly fluctuating components of the stock prices to improve their predictions of the future GDP.
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股票价格是否具有对未来经济活动的预测能力?频域的格兰杰因果分析
本文利用频域Granger因果关系分析,研究了国内股票价格对未来国内经济活动的预测能力。我们能够评估预测能力是集中在缓慢波动的分量还是集中在快速波动的分量上。使用G-7国家的季度数据,我们发现股票价格缓慢波动的成分对未来GDP有很大的预测能力,而快速波动的成分则不是这样。这一发现既适用于单个国家,也适用于多个国家。因此,宏观经济政策制定者可以利用股票价格缓慢波动的成分来改善他们对未来GDP的预测。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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