Which daily equity returns improve output forecasts?
We document the improvements in short term forecasts of real output growth for the United States and the euro area from incorporating daily financial data and using mixed data sampling (MIDAS) regressions. Furthermore, we show that a significant share of forecast improvements are driven by information embedded in stock returns of large, capital-intensive firms. In comparison, labor-intensive firms contribute less to improvements in output forecasts within a MIDAS framework.
Authors
- Mohammad R. Jahan-Pavar
- William J. Lang
Institutions
- Federal Reserve (US)
- Federal Reserve Board of Governors (US)
- New York University (US)
Publication Details
- Journal
- Economics Letters
- Published
- 2024-08-05
- DOI
- https://doi.org/10.1016/j.econlet.2024.111897
- Citations
- 1
- Primary Topic
- Monetary Policy and Economic Impact
- Type
- article
- Field-Weighted Citation Impact
- 0.83