Is Financial Market Volatility Informative to Predict Recessions?
AbstractIt 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 InfoPaper provided by Netherlands Central Bank in its series DNB Staff Reports (discontinued) with number 93.
Length: 33 pages
Date of creation: 2003
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-12 (All new papers)
- NEP-FIN-2003-10-12 (Finance)
- NEP-MFD-2003-10-12 (Microfinance)
- NEP-RMG-2003-10-12 (Risk Management)
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- Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German DAX," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank).
- Francesco Lippi & Stefano Neri, 2004. "Information variables for monetary policy in a small structural model," DNB Staff Reports (discontinued) 120, Netherlands Central Bank.
- 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.
- 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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