TY  - JOUR
AU  - Lamont,Owen
TI  - Economic Tracking Portfolios
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 7055
PY  - 1999
Y2  - March 1999
UR  - http://www.nber.org/papers/w7055
L1  - http://www.nber.org/papers/w7055.pdf
N1  - Author contact info:
Owen Lamont
Department of Economics
Harvard University
Cambridge MA 02138
E-Mail: owen.lamont@yale.edu
AB  - An economic tracking portfolio is a portfolio of assets with returns that track an economic variable.  Monthly returns on stocks and bonds are useful in forecasting post-war US output, consumption, labor income, inflation, stock returns, bond returns, and Treasury bill returns.  These forecasting relationships define portfolios that track market expectations about future economic variables.  Using tracking portfolio returns as instruments for future economic variables substantially raises the estimated sensitivity of asset prices to news about future economic variables.  Out-of-sample results show that tracking portfolios are useful in forecasting macroeconomic variables and hedging economic risk.
ER  -