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Real economic activity and state of financial markets

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  • Szymon Grabowski

    ()
    (Warsaw School of Economics)

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    Abstract

    This study examines the relation between real economic activity and condition of financial markets in Poland in the framework of Consumption Based Capital Asset Pricing Model (CCAPM). The article analyses the relation between yield spreads calculated for Polish debt securities and real economic activity. Since CCAPM is the framework of presented analysis the value of real retail sale is used as a measure of real economic activity (here level of real consumption). Furthermore, since host of researchers apply in their studies the whole spectrum of measures of real economic activity the study is extended to encompass also the supply side of the economy. The outcomes for Polish economy suggest that there is some evidence that financial markets may facilitate to forecast the real economic activity. The conclusions from models evaluated for supply and demand side of economy are coherent. Although, the research is conducted on monthly time series the results are consistent with quarterly analyses done for other economies.

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    File URL: http://kolegia.sgh.waw.pl/pl/KAE/struktura/IE/struktura/ZES/Documents/Working_Papers/aewp07-07.pdf
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    Bibliographic Info

    Paper provided by Department of Applied Econometrics, Warsaw School of Economics in its series Working Papers with number 7.

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    Length: 28 pages
    Date of creation: 22 May 2007
    Date of revision:
    Handle: RePEc:wse:wpaper:7

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    Related research

    Keywords: CCAPM; economic growth; financial markets; term spreads; expectations.;

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    1. Balvers, Ronald J. & Huang, Dayong, 2007. "Productivity-based asset pricing: Theory and evidence," Journal of Financial Economics, Elsevier, vol. 86(2), pages 405-445, November.
    2. Mehl, Arnaud, 2006. "The yield curve as a predictor and emerging economies," Working Paper Series 0691, European Central Bank.
    3. Campbell R. Harvey, 1997. "The Relation between the Term Structure of Interest Rates and Canadian Economic Growth," Canadian Journal of Economics, Canadian Economics Association, vol. 30(1), pages 169-93, February.
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