Real economic activity and state of financial markets
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Applied Econometrics, Warsaw School of Economics in its series Working Papers with number 7.
Length: 28 pages
Date of creation: 22 May 2007
Date of revision:
Contact details of provider:
Postal: 02-513 Warszawa, ul. Madalinskiego 6/8
Phone: + (48)(22) 49 12 51
Fax: + (48)(22) 49 53 12
Web page: http://www.sgh.waw.pl/instytuty/zes
More information through EDIRC
CCAPM; economic growth; financial markets; term spreads; expectations.;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marcin Owczarczuk).
If references are entirely missing, you can add them using this form.