Leverage as a predictor for real activity and volatility

被引:20
作者
Kollmann, Robert [1 ,2 ]
Zeugner, Stefan [1 ]
机构
[1] Univ Libre Brussels, ECARES, B-1050 Brussels, Belgium
[2] Univ Paris Est, Paris, France
关键词
Leverage; Financial crisis; Forecasts; Real activity; Volatility; SHOCKS; BANKING; CREDIT; MODEL;
D O I
10.1016/j.jedc.2012.03.010
中图分类号
F [经济];
学科分类号
02 ;
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 predictors 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. (C) 2012 Elsevier B.V. All rights reserved.
引用
收藏
页码:1267 / 1283
页数:17
相关论文
共 27 条
[1]  
Adrian T., 2010, Handbook of Monetary Economics, V3
[2]  
Adrian Tobias., 2010, Federal Reserve Bank of New York Staff Report, V422
[3]  
Aikman David, 2006, 305 BANK ENGL
[4]  
Angeloni Ignazio., 2009, TALE 2 POLICIES PRUD
[5]  
Antipa P., 2010, WOULD MACROPRUDENTIA
[6]   Approximately normal tests for equal predictive accuracy in nested models [J].
Clark, Todd E. ;
West, Kenneth D. .
JOURNAL OF ECONOMETRICS, 2007, 138 (01) :291-311
[7]  
Curdia Vasco., 2009, CREDIT FRICTIONS OPT
[8]   Leverage Constraints and the International Transmission of Shocks [J].
Devereux, Michael B. ;
Yetman, James .
JOURNAL OF MONEY CREDIT AND BANKING, 2010, 42 (06) :71-105
[9]  
Dib A., 2010, Banks, Credit Market Frictions, and Business Cycles
[10]  
Frale C., 2009, 200808 ECARES