---- Acknowledgements ----
The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. Support from the National Science Foundation (NSF) under Grant DGE-07-07425 (Jurado) and SES-0962431 (Ng) are gratefully acknowledged. We thank Nick Bloom, Steve Davis, Francis Diebold, Lutz Kilian, Laura Veldkamp, seminar participants at the Bank of Canada, Columbia University, the Federal Reserve Bank of San Fransisco, the Federal Reserve Bank of Atlanta, the IMF, NYU, Rutgers, UC Santa Cruz, UCLA, the 2013 High-Dimensional data conference in Vienna, the 2013 SITE workshop, and the 2013 NBER Summer Institute for helpful comments. We also thank Paolo Cavallino and Daniel Greenwald for excellent research assistance. Any errors or omissions are the responsibility of the authors. The authors declare that they have no relevant or material financial interests that relate to the research described in this paper. Uncertainty estimates and additional results are available from the website http://www.econ.nyu.edu/user/ludvigsons/jln_supp.pdf.