This paper analyzes the ability of both economic variables and moving-average rules to forecast the monthly U.S. equity premium using out-of-sample tests for 1960–2008. Both approaches provide statistically and economically significant out-of-sample forecasting gains, which are concentrated in U.S. business-cycle recessions. Nevertheless, economic variables and moving-average rules capture diff...

Financial markets are one of the most fundamental markets in any country. In the financial markets, the securities market and the foreign exchange market are sensitive sectors. These two markets are affected by fluctuations and economic cycles so reflect economic changes rapidly. Changes in the returns of one market due to arbitrage conditions during time lead to changes in the returns of other...

We develop a simple behavioral macromodel to study interactions between the real economy and the stock market. The real economy is represented by a Keynesian-type goods market approach while the setup for the stock market includes heterogeneous speculators. Using a mixture of analytical and numerical tools we find, for instance, that speculators may create endogenous boom-bust dynamics in the s...

What is the information content of news-based measures of sentiment? How are they related to aggregate economic fluctuations? I construct a sentiment index by measuring the net amount of positive expressions in the corpus of Economic news articles produced by Reuters over the period 1987 2013 and across 12 countries. The index successfully tracks fluctuations in Gross Domestic Product (GDP) at ...

achieving an acceptable level of price growth is one of the main objectives of economic policies. with consideration to the importance of food, information on food price response to monetary policies is important. to achieve the object, scholars recently emphasize the use of models in which a wide range of economic data are included. these models are created by inclusion of one or more factors ...

This paper studies the sources of economic fluctuations and their implications for exchange rate regime choice in key Latin American countries. In general, external shocks play a limited role in driving output fluctuations in these countries; this absence of common business cycles undermines the case for fixed exchange rates. On the other hand, although there is some evidence that real exchange...

nfl S it, HERE HAS BEEN considerable concern about the size of the federal deficit and the rather modest success of the Gramm-RudmanHollings Act to reduce it. The traditional, that is, Keynesian, view of deficit spending in macroeconomics was that it could smooth out fluctuations in economic activity due to gaps between saving and investment that were primarily the result of exogenous shifts in...