https://scholars.lib.ntu.edu.tw/handle/123456789/352784
標題: | Predicting the bear stock market: Macroeconomic variables as leading indicators | 作者: | SHIU-SHENG CHEN | 關鍵字: | Bear stock markets; C53; G10; Macroeconomic variables; Stock returns | 公開日期: | 2009 | 卷: | 33 | 期: | 2 | 起(迄)頁: | 211-223 | 來源出版物: | Journal of Banking and Finance | 摘要: | This paper investigates whether macroeconomic variables can predict recessions in the stock market, i.e., bear markets. Series such as interest rate spreads, inflation rates, money stocks, aggregate output, unemployment rates, federal funds rates, federal government debt, and nominal exchange rates are evaluated. After using parametric and nonparametric approaches to identify recession periods in the stock market, we consider both in-sample and out-of-sample tests of the variables' predictive ability. Empirical evidence from monthly data on the Standard & Poor's S&P 500 price index suggests that among the macroeconomic variables we have evaluated, yield curve spreads and inflation rates are the most useful predictors of recessions in the US stock market, according to both in-sample and out-of-sample forecasting performance. Moreover, comparing the bear market prediction to the stock return predictability has shown that it is easier to predict bear markets using macroeconomic variables. © 2008 Elsevier B.V. All rights reserved. |
URI: | http://www.scopus.com/inward/record.url?eid=2-s2.0-56549096783&partnerID=MN8TOARS http://scholars.lib.ntu.edu.tw/handle/123456789/352784 |
DOI: | 10.1016/j.jbankfin.2008.07.013 |
顯示於: | 經濟學系 |
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