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Is Financial Market Volatility Informative to Predict Recessions?

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Author Info

  • N. Valckx
  • M.J.K.de Ceuster
  • J. Annaert

Abstract

It is commonly agreed that the term spread and stock returns are useful in predicting recessions. We investigate whether interest rate

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Bibliographic Info

Paper provided by Netherlands Central Bank in its series DNB Staff Reports (discontinued) with number 93.

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Length: 33 pages
Date of creation: 2003
Date of revision:
Handle: RePEc:dnb:staffs:93

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Cited by:
  1. Vladimir Dubrovskiy & Inna Golodniuk & Janusz Szyrmer, 2009. "Composite Leading Indicators for Ukraine: An Early Warning Model," CASE Network Reports 0085, CASE-Center for Social and Economic Research.
  2. Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank).
  3. Francesco Lippi & Stefano Neri, 2004. "Information variables for monetary policy in a small structural model," DNB Staff Reports (discontinued) 120, Netherlands Central Bank.
  4. Esther Fernández Galar & Javier Gómez Biscarri, 2003. "Revisiting the Ability of Interest Rate Spreads to Predict Recessions: Evidence for a," Faculty Working Papers 04/03, School of Economics and Business Administration, University of Navarra.

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