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Financial predictors of real activity and the propagation of aggregate shocks

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Author Info
Johann Burgstaller () (Department of Economics, Johannes Kepler University Linz, Austria)

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Abstract

Bond yield and retail interest rate spreads are presumed to lead real activity on the basis of financial accelerator mechanisms, markup cyclicality or simply because they are forward-looking. Empirical results for Austria show that retail rate spreads outperform many other indicators in this respect. Nevertheless, there is no evidence for a financial accelerator being behind this finding.

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Publisher Info
Paper provided by Department of Economics, Johannes Kepler University Linz, Austria in its series Economics working papers with number 2006-16.

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Date of creation: Sep 2006
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Handle: RePEc:jku:econwp:2006_16

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Related research
Keywords: Leading indicator; business cycle; shock propagation; financial accelerator; bank markup;

Find related papers by JEL classification:
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Mortgages

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    Other versions:
  3. Davis, E Philip & Fagan, Gabriel, 1997. "Are Financial Spreads Useful Indicators of Future Inflation and Output Growth in EU Countries?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(6), pages 701-14, Nov.-Dec.. [Downloadable!]
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    Other versions:
  5. Jordan Shan & Alan Morris, 2002. "Does Financial Development 'Lead' Economic Growth?," International Review of Applied Economics, Taylor and Francis Journals, vol. 16(2), pages 153-168, April. [Downloadable!] (restricted)
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    Other versions:
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    Other versions:
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    Other versions:
  10. Bernanke, Ben & Gertler, Mark & Gilchrist, Simon, 1996. "The Financial Accelerator and the Flight to Quality," The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 1-15, February. [Downloadable!] (restricted)
    Other versions:
  11. Mody, Ashoka & Taylor, Mark P., 2004. "Financial predictors of real activity and the financial accelerator," Economics Letters, Elsevier, vol. 82(2), pages 167-172, February. [Downloadable!] (restricted)
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    Other versions:
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    Other versions:
  15. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September. [Downloadable!] (restricted)
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