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Forecasting GDP growth with financial market data in Finland: Revisiting stylized facts in a small open economy during the financial crisis

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  • Kuosmanen, Petri
  • Vataja, Juuso
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    Abstract

    This paper examines the ability of financial variables to predict future economic growth above and beyond past economic activity in a small open economy in the euro area. We aim to clarify potential differences in forecasting economic activity during different economic circumstances.

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    File URL: http://www.sciencedirect.com/science/article/pii/S105833001300061X
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    Bibliographic Info

    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 23 (2014)
    Issue (Month): 2 ()
    Pages: 90-97

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    Handle: RePEc:eee:revfin:v:23:y:2014:i:2:p:90-97

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    Web page: http://www.elsevier.com/locate/inca/620170

    Related research

    Keywords: Term spread; Short-term interest rate; Stock market; Forecasting; Macroeconomy;

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    References

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    3. David C. Wheelock & Mark E. Wohar, 2009. "Can the term spread predict output growth and recessions? a survey of the literature," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 419-440.
    4. James H. Stock & Mark W.Watson, 2003. "Forecasting Output and Inflation: The Role of Asset Prices," Journal of Economic Literature, American Economic Association, vol. 41(3), pages 788-829, September.
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    6. Michael D. Bordo & Joseph G. Haubrich, 2004. "The yield curve, recessions, and the credibility of the monetary regime: long-run evidence, 1875-1997," Working Paper 0402, Federal Reserve Bank of Cleveland.
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    9. Kinnunen, Helvi, 1998. "The Sources of Output Shocks in Finland and Other EU Countries," Research Discussion Papers 3/1998, Bank of Finland.
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    19. Junttila, Juha & Korhonen, Marko, 2011. "Utilizing financial market information in forecasting real growth, inflation and real exchange rate," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 281-301, April.
    20. Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005. "Predicting real growth and the probability of recession in the Euro area using the yield spread," International Journal of Forecasting, Elsevier, vol. 21(2), pages 261-277.
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    22. Kuosmanen, Petri & Vataja, Juuso, 2011. "The role of stock markets vs. the term spread in forecasting macrovariables in Finland," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 124-132, May.
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