This seminar presents research that analyzes the impact of the output gap on market excess returns. The output gap is usually defined as the deviation of output from potential output that is indicated by the trend output. However, this study departs from the common approach of calculating the output gap based on a simple trend line. It uses a flexible data-driven weighting scheme, and it uses only the available information that corresponds to each forecasting origin to derive the output gap. Overall, the proposed output gap is a strong predictor of U.S. market excess returns.
About the Speaker:
Dr.Anindya Biswas is Assistant Professor, Division of Business, Spring Hill College, Alabama, USA. He has an M.S and Ph.D in Economics from Northern Illinois University. His areas of specialization include Financial Economics, Macroeconomics, and Econometrics, in which he has published papers in leading journals.