@article{Threshold:1375,
      recid = {1375},
      author = {Tkacz, Greg and Wilkins, Carolyn A.},
      title = {Linear and Threshold Forecasts of Output and Inflation  with Stock and Housing Prices},
      publisher = {Bank of Canada},
      address = {2006},
      pages = {1 online resource (v, 30 pages)},
      abstract = {The authors examine whether simple measures of Canadian  equity and housing price misalignments contain leading  information about output growth and inflation. Previous  authors have found that the information content of asset  prices in general, and equity and housing prices in  particular, are unreliable in that they do not  systematically predict future economic activity or  inflation. However, earlier studies relied on simple linear  relationships that would fail to pick up the potential  non-linear effects of asset-price misalignments. The  authors' results suggest that housing prices are useful for  predicting GDP growth, even within a linear context.  Moreover, both stock and housing prices can improve  inflation forecasts, especially when using a threshold  specification. These improvements in forecast performance  are relative to the information contained in Phillips-curve  type indicators for inflation and IS-curve type indicators  for GDP growth.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/1375},
      doi = {https://doi.org/10.34989/swp-2006-25},
}