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Predictive ability of financial variables in changing economic circumstances
We analyze three key financial variables, the term spread, real stock returns and the real short-term interest rate, and study which economic factors underlie changes in their predictive power for GDP growth in a large set ...
Economic Policy Uncertainty Effects for Forecasting Future Real Economic Activity
Recently introduced measures for Economic Policy Uncertainty (EPU) included in the data from 1997 - 2016 have a role in forecasting out-of-sample values for the future real economic activity for both the euro area and the ...