期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2011
出版社：European Central Bank
摘要：We provide evidence that changes in the equity price and volatility of individual ¯rms (mea- sures that approximate the de¯nition of 'granular shock' given in Gabaix, 2010) are key to improve the predictability of aggregate business cycle °uctuations in a number of countries. Speci¯cally, adding the return and the volatility of ¯rm-level equity prices to aggregate ¯nancial information leads to a signi¯cant improvement in forecasting business cycle developments in four economic areas, at various horizons. Importantly, not only domestic ¯rms but also foreign ¯rms improve business cycle predictability for a given economic area. This is not immediately visible when one takes an unconditional standpoint (i.e. an average across the sample). However, con- ditioning on the business cycle position of the domestic economy, the relative importance of the two sets of ¯rms - foreign and domestic - exhibits noticeable swings across time. Analogously, the sectoral classi¯cation of the ¯rms that in a given month retain the highest predictive power for future IP changes also varies signi¯cantly over time as a function of the business cycle position of the domestic economy. Limited to the United States, predictive ability is found to be related to selected balance sheet items, suggesting that structural features di®erentiate the ¯rms that can anticipate aggregate °uctuations from those that do not help to this aim. Beyond the purely forecasting application, this ¯nding may enhance our understanding of the underlying origins of aggregate °uctuations. We also propose to use the cross sectional stock market information to macro-prudential aims through an economic Value at Risk.
关键词：Business cycle forecasting; granular shock; international linkages.
