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This article evaluates the predictability of the equity risk premium in the   United States by comparing the individual and complementary predictive power   of macroeconomic variables and technical indicators using a comprehensive set   of 16 economic and 14 technical predictors over a monthly out-ofsample period   of 1995:01 to 2012:12 and an in-sample period of 1986:01- 1994:12. In order   to do so we consider, in addition to the set of variables used in Christopher   J. Neely et al. (2013) and using a more recent dataset, the forecasting   ability of two other important variables namely government shutdown and debt   ceiling. Our results show that one of the newly added variables namely   government shutdown provides statistically significant out-of-sample   predictive power over the equity risk premium relative to the historical   average. Most of the variables, including government shutdown, also show   significant economic gains for a risk averse investor especially during   recessions.

Does debt ceiling and government shutdown help in forecasting the us equity risk premium?