Financial and economic downturns in OECD countries
AbstractThis article empirically studies the linkages between financial variable downturns and economic recessions. We present evidence that real asset prices tend to lead real cycles, while loan-to-GDP and loan-to-deposit ratios lag them. Using a probit analysis, we document that downturns in real asset prices, particularly real house prices, are useful leading indicators of economic recessions.
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Bibliographic InfoPaper provided by Bank of Finland in its series Research Discussion Papers with number 35/2013.
Length: 13 pages
Date of creation: 19 Dec 2013
Date of revision:
macro-financial linkages; turning point analysis; probit models;
Other versions of this item:
- Markus Haavio & Caterina Mendicino & Maria Teresa Punzi, 2014. "Financial and economic downturns in OECD countries," Applied Economics Letters, Taylor & Francis Journals, vol. 21(6), pages 407-412, April.
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-12-29 (All new papers)
- NEP-FOR-2013-12-29 (Forecasting)
- NEP-MAC-2013-12-29 (Macroeconomics)
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