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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

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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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File URL: http://www.dnb.nl/binaries/sr093_tcm46-146870.pdf
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Publisher 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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Web page: http://www.dnb.nl/en/
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  1. Francesco Lippi & Stefano Neri, 2004. "Information variables for monetary policy in a small structural model," DNB Staff Reports (discontinued) 120, Netherlands Central Bank. [Downloadable!]
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