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The Financial Indicators Leading Real Economic Activity - the Case of Poland

Author

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  • Szymon Grabowski

    () (Warsaw School of Economics)

Abstract

In many research studies it is argued that it is possible to extract useful information about future real economic activity from the performance of financial markets. However, this study goes further and shows that it is not only possible to use expectations derived from financial markets to forecast future economic activity, but that data about the financial system can be used for this purpose as well. This paper sheds light on the ability to forecast real economic activity, based on additional and different financial variables than what have been presented so far. The research is conducted for the Polish emerging economy on the basis of monthly data. The results suggest that, based purely on the data from the financial system, it is possible to construct reasonable measures that can, even for an emerging economy, effectively forecast future real economic activity. The outcomes are proved by two different econometric methods, namely, by a time series analysis and by a probit model. All presented models are tested in-sample and out-of-sample.

Suggested Citation

  • Szymon Grabowski, 2009. "The Financial Indicators Leading Real Economic Activity - the Case of Poland," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 1(4), pages 311-332, December.
  • Handle: RePEc:psc:journl:v:1:y:2009:i:4:p:311-332
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    File URL: http://cejeme.org/publishedarticles/2010-39-27-634105175966875000-8620.pdf
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    References listed on IDEAS

    as
    1. Ewa Wrobel & Tomasz Lyziak & Jan Przystupa, 2008. "Monetary Policy Transmission in Poland: a Study of the Importance of Interest Rate and Credit Channels," SUERF Studies, SUERF - The European Money and Finance Forum, number 2008/1 edited by Morten Balling.
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    More about this item

    Keywords

    forecasting; rational expectations; financial system; term spreads; real economic activity;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • 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

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