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The information content of interest rate and stock market volatility for predicting business cycles in probit models

Author

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  • ANNAERT, Jan
  • DE CEUSTER, Marc
  • VALCKX, Nico

Abstract

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Suggested Citation

  • ANNAERT, Jan & DE CEUSTER, Marc & VALCKX, Nico, 1998. "The information content of interest rate and stock market volatility for predicting business cycles in probit models," SESO Working Papers 1998008, University of Antwerp, Faculty of Business and Economics.
    • Handle: RePEc:ant:sesowp:1998008
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    More about this item

    Keywords

    Business cycles; Stock market volatility; Interest rate volatility; Probit model;
    All these keywords.

    JEL classification:

    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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