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Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?

  • Torsten Sløk
  • Peter F. Christoffersen

There is ample empirical evidence for developed economies that asset prices contain information about future economic developments. But is this also the case in transition economies? Using a panel of monthly data for the Czech Republic, Hungary, Poland, Russia, Slovakia, and Slovenia for the period 1994-1999 it is shown that historical values for interest rates, exchange rates, and stock prices signal future movements in real economic activity. This result has significant implications for policymakers, and a composite leading indicator based on the three asset prices is presented, which contains information about the future development of economic activity.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 00/103.

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Length: 25
Date of creation: 01 Jun 2000
Date of revision:
Handle: RePEc:imf:imfwpa:00/103
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