Forecasting Output and Inflation: The Role of Asset Prices
通过文献综述和对七个OECD国家1959-99年季度数据的实证分析，发现某些资产价格在特定时期能预测通胀或产出增长，但预测能力不稳定，而组合预测优于单变量基准。
Are asset prices useful predictors of inflation and real output growth? After reviewing the large literature on this topic, we undertake an empirical analysis of quarterly data for seven OECD countries spanning 1959-99. The literature review and the empirical analysis yield the same conclusions. Some asset prices predict inflation or output growth in some countries in some periods. Which series predicts what, when, and where is difficult to predict; being a good predictor historically is largely unrelated to subsequent performance. Intriguingly, forecasts that combine these individually unstable forecasts appear to improve reliably upon univariate benchmarks.