Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States
利用1960-2017年美国季度数据，发现住房市场和公司资产负债表的特定金融比率（如经周期调整的房价租金比和非金融非公司企业负债收入比）能有效预测1-5年的GDP增长，且小型预测模型优于高维模型。
Using a large quarterly macroeconomic dataset for the period 1960–2017, we document the ability of specific financial ratios from the housing market and firms’ aggregate balance sheets to predict GDP over medium-term horizons in the United States. A cyclically adjusted house price-to-rent ratio and the liabilities-to-income ratio of the non-financial non-corporate business sector provide the best in-sample and out-of-sample predictions of GDP growth over horizons of one to five years, based on a wide variety of rankings. Small forecasting models that include these indicators outperform popular high-dimensional models and forecast combinations. The predictive power of the two ratios appears strong during both recessions and expansions, stable over time, and consistent with well-established macro-finance theory.