Does the Bond Market Do Better than the Stock Market in Predicting Economic Growth?

This paper compares forecasts of real economic growth from models based on the stock market and bond market data. Although both contain information relevant for predicting GNP growth, the bond market delivers more accurate predictions. The bond market predictions are compared to the forecasts of seven leading econometric forecasting services. None of these services is able to provide a lower root mean squared error than the bond market model. This is the working paper version of my 1989 Financial Analysts Journal article