Are economic tracking portfolios useful for forecasting output and inflation in Austria?
Author InfoBurkhard Raunig Abstract We construct economic tracking portfolios from Austrian stock market returns, euro/dollar exchange rate changes and changes in the oil price to extract revisions of market expectations about future industrial production growth and inflation in Austria. The forecasting ability of the portfolios is evaluated in-sample and in a pseudo out-of-sample forecasting experiment. It turns out that the tracking portfolios track both target variables in-sample. The portfolios also help to forecast annual industrial production growth out-of-sample. The predictive ability of the tracking portfolios for inflation is rather low. Download InfoTo download: If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be
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