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Economic Tracking Portfolios / Owen Lamont.
- Format:
- Book
- Author/Creator:
- Lamont, Owen.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w7055.
- NBER working paper series no. w7055
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1999.
- Summary:
- An economic tracking portfolio is a portfolio of assets with returns that track an economic variable. Monthly returns on stocks and bonds are useful in forecasting post-war US output, consumption, labor income, inflation, stock returns, bond returns, and Treasury bill returns. These forecasting relationships define portfolios that track market expectations about future economic variables. Using tracking portfolio returns as instruments for future economic variables substantially raises the estimated sensitivity of asset prices to news about future economic variables. Out-of-sample results show that tracking portfolios are useful in forecasting macroeconomic variables and hedging economic risk.
- Notes:
- Print version record
- March 1999.
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