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The return of financial variables in forecasting GDP growth in the G-7

机译：七国集团（G-7）预测GDP增长中的金融变量回归

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The financial crisis and subsequent sovereign debt crisis together had a profound impact on the current economic environment. This study reexamines the established stylized facts and previous evidence regarding the predictive association between financial variables and real economic activity considering changed economic circumstances. This paper focuses on the predictive ability of the term spread, short-term interest rate and stock returns for real GDP growth in the G-7 countries. We compare the predictive content of nominal financial variables with that of real financial variables and consider the proper number of financial predictors and time variations of forecasting performance. The forecasting results unambiguously indicate that financial variables have regained their predictive power since the financial crisis. Moreover, this study shows that real financial variables are superior to nominal variables and that using several financial indicators for forecasting GDP growth is preferable.
机译：金融危机和随后的主权债务危机一起对当前的经济环境产生了深远的影响。这项研究重新审查了已建立的程式化事实和有关考虑到变化的经济环境的金融变量与实际经济活动之间的预测关联的先前证据。本文着重于七国集团（G-7）国家中期限利差，短期利率和股票收益对实际GDP增长的预测能力。我们将名义财务变量的预测内容与实际财务变量的预测内容进行比较，并考虑财务预测变量的正确数量和预测绩效的时间变化。预测结果明确表明，自金融危机以来，金融变量已经恢复了其预测能力。此外，这项研究表明，实际财务变量要优于名义变量，并且使用多个财务指标来预测GDP增长是可取的。

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