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Is Financial Market Volatility Informative to Predict Recessions?

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  • N. Valckx
  • M.J.K.de Ceuster
  • J. Annaert

Abstract

It is commonly agreed that the term spread and stock returns are useful in predicting recessions. We investigate whether interest rate

Suggested Citation

  • N. Valckx & M.J.K.de Ceuster & J. Annaert, 2003. "Is Financial Market Volatility Informative to Predict Recessions?," DNB Staff Reports (discontinued) 93, Netherlands Central Bank.
  • Handle: RePEc:dnb:staffs:93
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    File URL: https://www.dnb.nl/binaries/sr093_tcm46-146870.pdf
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    Cited by:

    1. Esther Fernández Galar & Javier Gómez Biscarri, 2003. "Revisiting the Ability of Interest Rate Spreads to Predict Recessions: Evidence for a," Faculty Working Papers 04/03, School of Economics and Business Administration, University of Navarra.
    2. Francesco Lippi & Stefano Neri, 2004. "Information variables for monetary policy in a small structural model," DNB Staff Reports (discontinued) 120, Netherlands Central Bank.
    3. Vladimir Dubrovskiy & Inna Golodniuk & Janusz Szyrmer, 2009. "Composite Leading Indicators for Ukraine: An Early Warning Model," CASE Network Reports 0085, CASE-Center for Social and Economic Research.
    4. Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank).
    5. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 289-305, March.

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