The paper “Stock returns and real growth: A Bayesian nonparametric approach” by Prof. Yang has accepted for publication at Journal of Empirical Finance

时间:2019-07-02浏览:13设置

This study constructs a Bayesian nonparametric model to investigate whether stock market returns predict real economic growth. Unlike earlier studies, our use of an infinite hidden Markov model enables parameters to be time-varying across an infinite number of Markov-switching states estimated from data rather than fixed like a prior. Our model exhibits significantly greater accuracy in out-of-sample density forecasts. We uncover strong evidence of the time-varying power of lagged stock returns to predict economic growth.


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