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Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?

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Author Info

  • Torsten Sløk
  • Peter F. Christoffersen

Abstract

There is ample empirical evidence for developed economies that asset prices contain information about future economic developments. But is this also the case in transition economies? Using a panel of monthly data for the Czech Republic, Hungary, Poland, Russia, Slovakia, and Slovenia for the period 1994-1999 it is shown that historical values for interest rates, exchange rates, and stock prices signal future movements in real economic activity. This result has significant implications for policymakers, and a composite leading indicator based on the three asset prices is presented, which contains information about the future development of economic activity.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 00/103.

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Length: 25
Date of creation: 01 Jun 2000
Date of revision:
Handle: RePEc:imf:imfwpa:00/103

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Related research

Keywords: Transition economies; transition countries; financial sector; stock market; financial sector development; money market; stock markets; unemployment rate; financial markets; stock returns; stock prices; financial system; equity markets; financial intermediation; stock ownership; stock market development; stock indices; stock exchange; asset markets; stock price; equity market; money market interest rates; financial systems; financial intermediaries; money market interest; transition period; international standards; financial intermediary development; political decisions; real money market rate; stock index; real money market rates; foreign ownership; non-member countries; exchange rate movements; tradable goods; money market rate; financial liberalization; financial fragility; international financial statistics; currency crisis; stock exchanges; output growth; exchange rate policies; domestic companies; foreign stock; financial structure; moral hazard;

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Citations

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Cited by:
  1. Junttila, Juha, 2007. "Forecasting the macroeconomy with contemporaneous financial market information: Europe and the United States," Review of Financial Economics, Elsevier, vol. 16(2), pages 149-175.
  2. Bernd Hayo & Ali Kutan, 2004. "The Impact of News, Oil Prices, and Global Market Developments on Russian Financial Markets," Finance 0403002, EconWPA.
  3. Sara G. Castellanos & Eduardo Camero, 2003. "La estructura temporal de tasas de interés en México: ¿Puede predecir la actividad económica futura?," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 18(2), pages 33-66, December.
  4. Norbert Funke, 2002. "Stock Market Developments and Private Consumer Spending in Emerging Markets," IMF Working Papers 02/238, International Monetary Fund.
  5. Hayo, Bernd & Kutan, Ali M., 2002. "The impact of news, oil prices, and international spillovers on Russian financial markets," ZEI Working Papers B 20-2002, ZEI - Center for European Integration Studies, University of Bonn.
  6. Lamont, Owen A., 2001. "Economic tracking portfolios," Journal of Econometrics, Elsevier, vol. 105(1), pages 161-184, November.
  7. Junttila, Juha & Kinnunen, Heli, 2004. "The performance of economic tracking portfolios in an IT-intensive stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 601-623, September.
  8. Gongpil Choi, 2003. "The Choice of Monetary Regime for Post-Crisis Asia. The Case of South Korea," Revue économique, Presses de Sciences-Po, vol. 54(5), pages 1137-1160.
  9. Junttila, Juha, 2002. "Forecasting the macroeconomy with current financial market information: Europe and the United States," Research Discussion Papers 2/2002, Bank of Finland.
  10. Tsouma, Ekaterini, 2009. "Stock returns and economic activity in mature and emerging markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 668-685, May.

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