Forecasting Long-Term Growth of the U.S. Stock Market and Business Cycles
List of dates for yield curve inversion
The triangular wave model class
Constructor of tri.wave class
Methods of triangular wave model
Converter from daily Date to fraction
Converter from fraction to daily Date
The jubilee class
jubilee: A package to forecast long-term growth of the US stock market...
Adjust the time series by fault lines
Internal utility to calculate n-year CAPE
Internal utility to calculate OLS regression for log total return inde...
Internal utility to calculate annualized forward and backward (log) re...
Internal utility to download time series data from FRED
Internal utility to locate static file
Calculate the cost function of the macro model
The GUPTY macro model
Prediction from UNRATE and GDP models
Wrapper to calculate sapply using multi-core
Internal utility to calculate OLS regression
Calculate the optimal TB3MS
Make prediction based on linear regression
Constructor of the jubilee class
Internal utility to read FRED file
The jubilee repository class
Configuration of jubilee's data repository
Constructor of jubilee.repo class
Standard fault line data sets
A long-term forecast model called "Jubilee-Tectonic model" is implemented to forecast future returns of the U.S. stock market, Treasury yield, and gold price. The five-factor model forecasts the 10-year and 20-year future equity returns with high R-squared above 80 percent. It is based on linear growth and mean reversion characteristics in the U.S. stock market. This model also enhances the CAPE model by introducing the hypothesis that there are fault lines in the historical CAPE, which can be calibrated and corrected through statistical learning. In addition, it contains a module for business cycles, optimal interest rate, and recession forecasts.