Forecasting Output and Inflation: The Role of Asset Prices
回顾并实证分析了资产价格对通胀和实际产出增长的预测能力，发现某些资产价格在特定时期对特定国家有预测作用，但预测表现不稳定，而组合预测能可靠地优于单一基准模型。
This paper examines old and new evidence on the predictive performance of asset prices for inflation and real output growth. We first review the large literature on this topic, focusing on the past dozen years. We then undertake an empirical analysis of quarterly date on up to 38 candidate indicators (mainly asset prices) for seven OECD countries for a span of up to 41 years (1959 - 1999). The conclusions from the literature review and the empirical analysis are the same. Some asset prices predict either inflation or output growth in some countries in some periods. Which series predicts what, when and where is, however, itself difficult to predict: good forecasting performance by an indicator in one period seems to be unrelated to whether it is a useful predictor in a later period. Intriguingly, forecasts produced by combining these unstable individual forecasts appear to improve reliably upon univariate benchmarks.