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The purpose of this paper is to investigate whether the current account balance can help in forecasting the quarterly S&P500-based equity premium out-of-sample. We consider an out-of-sample period of 1970:Q3 to 2014:Q4, with a corresponding in-sample period of 1947:Q2 to 1970:Q2. We employ a quantile predictive regression model. The quantile-based approach is more informative relative to any linear...
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