#2010-008A "Out-of-Sample Equity Premium Prediction: Economic Fundamentals vs. Moving-Average Rules"
by Christopher J. Neely, David E. Rapach, Jun Tu, and Guofu Zhou
March 2010

This paper analyzes the ability of both economic variables and moving-average rules to forecast the monthly U.S. equity premium using out-of-sample tests for 1960–2008. Both approaches provide statistically and economically significant out-of-sample forecasting gains, which are concentrated in U.S. business-cycle recessions. More...

#2009-055A "Common Fluctuations in OECD Budget Balances"
by Christopher J. Neely, and David E. Rapach
October 2009

We analyze comovements in four measures of budget surpluses for 18 OECD countries for 1980–2008 with a dynamic latent factor model. More...

#2008-025D "International Comovements in Inflation Rates and Country Characteristics"
by Christopher J. Neely, and David E. Rapach
August 2008
Revised September 2009

Common shocks, similarities in central bank reaction functions, and international trade potentially produce common components in international inflation rates. More...

#2008-018A "Real Interest Rate Persistence: Evidence and Implications"
by Christopher J. Neely, and David E. Rapach
June 2008

The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. We selectively survey the empirical literature that examines the time-series properties of real interest rates. More...

PUBLISHED: Federal Reserve Bank of St. Louis Review, November/December 2008, 90(6), pp. 609-41

#2007-050B "States and the Business Cycle"
by Michael T. Owyang, David E. Rapach, and Howard J. Wall
November 2007
Revised October 2008

We model the U.S. business cycle using a dynamic factor model that identifies common factors underlying fluctuations in state-level income and employment growth. More...

PUBLISHED: Journal of Urban Economics, March 2009, 65(2), pp. 181-94