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Financial Predictors of Real Activity and the Propagation of Aggregate Shocks

Author

Listed:
  • Johann Burgstaller

    (Johannes Kepler Universität Linz, Institut für betriebliche Finanzwirtschaft, Abteilung für Asset Management, Freistädterstraße 315, A-4040 Linz/Österreich)

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 interest rate spreads outperform many other indicators in this respect. Nevertheless, there is no evidence for a financial accelerator being behind this finding. The euro area corporate bond market may, however, represent a shock propagation channel of certain relevance for the Austrian economy. Keywords: Leading indicator, business cycle, shock propagation, financial accelerator, bank markup.

Suggested Citation

  • Johann Burgstaller, 2009. "Financial Predictors of Real Activity and the Propagation of Aggregate Shocks," Credit and Capital Markets, Credit and Capital Markets, vol. 42(1), pages 1-23.
  • Handle: RePEc:kuk:journl:v:42:y:2009:i:1:p:1-23
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    Cited by:

    1. Katja Drechsel & Rolf Scheufele, 2012. "The Financial Crisis from a Forecaster’s Perspective," Credit and Capital Markets, Credit and Capital Markets, vol. 45(1), pages 1-26.

    More about this item

    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; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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