Predicting the bear stock market macroeconomic variables as leading indicators

EconPapers: Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators

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Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators

This paper investigates whether macroeconomic variables can predict recessions in the stock market, i. Series such as interest rate spreads, inflation rates, money stocks, aggregate output, unemployment rates, federal funds rates, federal government debt, and nominal exchange rates are evaluated. Moreover, comparing the bear market prediction to the stock return predictability has shown that it is easier to predict bear markets using macroeconomic variables.

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Author links open the author workspace. Opens the author workspace Opens the author workspace Department of Economics, National Taiwan University, No.

Abstract This paper investigates whether macroeconomic variables can predict recessions in the stock market, i. Check if you have access through your login credentials or your institution.

Predicting the bear stock market: Macroeconomic variables as leading indicators

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