arXiv 1 Nov 2021 · Econometrics · publishedInternational Journal of Forecasting (2023) · 2 citations (OpenAlex)
arXiv:2111.00822 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Stock, J.H. and Watson, M (2003) Forecasting Output and Inflation: The Role of Asset Prices | 1.000 | 10 | 3 | 100% |
| 2 | Davis, M.A., Lehnert, A., and Martin, R.F (2008) The Rent-Price Ratio for the Aggregate Stock of Owner-Occupied Housing | 1.000 | 7 | 4 | 100% |
| 3 | McCracken, M.W. and Ng, S (2021) FRED-QD: A Quarterly Database for Macroeconomic Research, Federal Reserve Bank of St | 0.965 | 10 | 4 | 90% |
| 4 | Giacomini, R. and Rossi, B (2010) Forecast Comparisons in Unstable Environments | 0.928 | 5 | 3 | 80% |
| 5 | Koop, G. and Korobilis, D (2013) Large Time-Varying Parameter VARs | 0.874 | 9 | 2 | 100% |
| 6 | Adrian, T., Boyarchenko, N., and Giannone, D (2019) Vulnerable Growth | 0.874 | 6 | 2 | 100% |
| 7 | Adrian, T., Grinberg, F., Liang, N., Malik, S., and Yu, J (2022) The Term Structure of Growth-at-Risk | 0.874 | 6 | 2 | 100% |
| 8 | Campbell, J.Y. and Shiller, R.J (1998) Valuation Ratios and the Long-Run Stock Market Outlook | 0.843 | 3 | 3 | 100% |
| 9 | Chauvet, M. and Potter, S (2013) Forecasting Output, in G. Elliott and A. Timmermann, eds., Handbook of Economic Forecasting | 0.843 | 3 | 3 | 100% |
| 10 | Bernanke, B.S., Gertler, M., and Gilchrist, S (1999) The Financial Accelerator in a Quantitative Business Cycle Framework, in J.B | 0.811 | 4 | 2 | 100% |
Showing the top 10 of 75 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
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| 1 | Probabilistic Forecasting of Climate Policy Uncertainty: The Role of Macro-financial Variables and Google Search Data | 0.511 | 2 | 1 |