The Dri Market Expectations Model

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Abstract
The introduction of an increasing number of futures markets makes possible new forecasting methods which utilize the prices in these markets as a source of information. This paper reports on an adaptation of the DRI structural model of the U.S. economy which utilizes interest rates and stock prices reported in futures markets, and measures of price and output expectations reported in surveys. Initial experiments of this combination of decentralized information from futures markets and surveys and centralized information processed by econometric techniques suggests that the approach has considerable promise as a forecasting technique.

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