| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8327 |
| DP8327 Leverage as a Predictor for Real Activity and Volatility | |
| Robert Kollmann; Stefan Zeugner | |
| 发表日期 | 2011-04-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This paper explores the link between the leverage of the US financial sector, of households and of non-financial businesses, and real activity. We document that leverage is negatively correlated with the future growth of real activity, and positively linked to the conditional volatility of future real activity and of equity returns. The joint information in sectoral leverage series is more relevant for predicting future real activity than the information contained in any individual leverage series. Using in-sample regressions and out-of sample forecasts, we show that the predictive power of leverage is roughly comparable to that of macro and financial variables commonly used by forecasters. Leverage information would not have allowed to predict the ?Great Recession? of 2008-2009 any better than conventional macro/financial predictors. |
| 主题 | International Macroeconomics |
| 关键词 | Financial crisis forecasts Leverage Real activity Volatility |
| URL | https://cepr.org/publications/dp8327 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537154 |
| 推荐引用方式 GB/T 7714 | Robert Kollmann,Stefan Zeugner. DP8327 Leverage as a Predictor for Real Activity and Volatility. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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