February 6, 2018

Share Price Drop is not about NGDP Expectations

tldr: Don’t worry When developing our NGDP forecasting methodology, which uses only data from the NGDP/NGDI time series as well as market prices, we ran a number of validation trials. These trials sought to show that the methodology was invalid. We did simulation studies, we did out of sample tests and weren’t able to find a problem, though the most impressive result came when we ran the system in a simulated daily forecast update against the ’87 stock market crash. The “Black Monday” crash of October 19, 1987 saw the S&P 500 drop 20% in a single day. However, nothing… Read More