SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
goodtoknow
Topic Author
Posts: 4
Joined: June 25th, 2019, 7:17 pm

Does Macro Variables help in predicting Market Retrun?

August 26th, 2019, 7:56 pm

Which all macro variables can be use to predict the market direction - IMF, World Bank...
 
User avatar
bearish
Posts: 5286
Joined: February 3rd, 2011, 2:19 pm

Re: Does Macro Variables help in predicting Market Retrun?

August 26th, 2019, 10:48 pm

Yes
 
goodtoknow
Topic Author
Posts: 4
Joined: June 25th, 2019, 7:17 pm

Re: Does Macro Variables help in predicting Market Retrun?

August 27th, 2019, 3:13 am

Could you please share the reference paper/blog?
 
User avatar
gardener3
Posts: 1496
Joined: April 5th, 2004, 3:25 pm

Re: Does Macro Variables help in predicting Market Retrun?

August 31st, 2019, 4:17 pm

No
 
varunkyadav
Posts: 2
Joined: April 30th, 2019, 12:02 pm

Re: Does Macro Variables help in predicting Market Retrun?

September 1st, 2019, 7:10 pm

There is something called as Oxford Economic Model. This is model and a tool that is used by the portfolio team (in a firm where I worked previously) to convert Macro Economic Variable forecasts into Capital Market Variable shocks. You could probably look at the parameters they use and would be the same to forecast market directions
https://www.oxfordeconomics.com/Media/Default/Thought%20Leadership/free-files/oe_user_guide.pdf

further more you can google "CCAR 9 quarter projections" these are variables NY FED uses to forecast US Capital Markets.
 
User avatar
DavidJN
Posts: 1741
Joined: July 14th, 2002, 3:00 am

Re: Does Macro Variables help in predicting Market Retrun?

September 2nd, 2019, 12:49 pm

The financial sector is typically simplistically represented in DSGE (distributed stochastic general equilibrium) macroeconomic models, sometimes as simple as plug variables that assumes perfect competition and deny the possibility of a financially induced recession. Macroeconomics as   a discipline has a decidedly poor forecasting track record, Noah Smith, who among other things writes for Bloomberg, has a good deck on the weak state of macroeconomics and forecasting. Yet the regulators and central banks, who themselves are miles away from usefully connecting the real and financial economies, are imposing this on the stress testing regime.  Just have a look at how low the R-squareds are in the CCAR world, a solid econometrician would laugh at it. Good luck. 
 
gilgamesh
Posts: 1
Joined: September 16th, 2019, 12:01 pm

Re: Does Macro Variables help in predicting Market Retrun?

September 29th, 2019, 10:22 am

Macro economics has broadly failed to forecast very much, and we are currently in a negative rates environment that has an insufficient training set.   https://on.ft.com/34gOLcP  https://www.economist.com/finance-and-economics/2016/01/09/a-mean-feat
FT 'an astonishing record of completer failure'
when Loungani extends the deadline for forecasting a recession to September 2008, the consensus remained that not a single economy would fall into recession in 2009. Making up for lost time and satisfying the premise of an old joke, by September of 2009, the year in which the recessions actually occurred, the consensus predicted 54 out of 49 of them – that is, five more than there were. And, as an encore, there were 15 recessions in 2012. None were foreseen in the spring of 2011 and only two were predicted by September 2011.
ABOUT WILMOTT

PW by JB

Wilmott.com has been "Serving the Quantitative Finance Community" since 2001. Continued...


Twitter LinkedIn Instagram

JOBS BOARD

JOBS BOARD

Looking for a quant job, risk, algo trading,...? Browse jobs here...


GZIP: On