Does the Bond Market do Better than the Stock Market in Predicting Economic Growth?

Harvey, Campbell

doi:10.2139/ssrn.812927

Abstract

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Does the Bond Market do Better than the Stock Market in Predicting Economic Growth?

Campbell R. Harvey

Duke University - Fuqua School of Business; National Bureau of Economic Research (NBER)

June 1989

Abstract:
This paper compares forecasts of real economic growth from models based on the stock market and bond market data. Although both contain information relevant for predicting GNP growth, the bond market delivers more accurate predictions. The bond market predictions are compared to the forecasts of seven leading econometric forecasting services. None of these services is able to provide a lower root mean squared error than the bond market model. This is the working paper version of my 1989 Financial Analysts Journal article.

Number of Pages in PDF File: 18

Keywords: structure, yield curve, forecasting GDP, predicting GDP

JEL Classification: G10, G12, E32, E43, F43

working papers series

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Date posted: October 9, 2005

Suggested Citation

Harvey, Campbell R., Does the Bond Market do Better than the Stock Market in Predicting Economic Growth? (June 1989). Available at SSRN: http://ssrn.com/abstract=812927 or http://dx.doi.org/10.2139/ssrn.812927

Contact Information

Campbell R. Harvey (Contact Author) Duke University - Fuqua School of Business ( email ) Box 90120 Durham, NC 27708-0120 United States 919-660-7768 (Phone) 919-660-8030 (Fax)
National Bureau of Economic Research (NBER) 1050 Massachusetts Avenue Cambridge, MA 02138 United States

Abstract

Footnotes (17)

Does the Bond Market do Better than the Stock Market in Predicting Economic Growth?

Campbell R. Harvey

Date posted: October 9, 2005

Suggested Citation

Contact Information

Campbell R. Harvey (Contact Author)