Arbeitspapier
Financial market volatility: Informative in predicting recessions
It is commonly agreed that the term spread and stock returns are useful in predicting recessions.We extend these empirical findings by examining interest rate and stock market volatility as additional recession indicators.Both risk-return analysis and the theory of investment under uncertainty provide a rationale for this extension.The results for the United States, Germany and Japan show that interest rate and stock return volatility contribute significantly to the forecasting of future recessions.This holds in particular for short term predictions.
- ISBN
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951-686-729-4
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Finland Discussion Papers ; No. 14/2001
- Classification
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Wirtschaft
- Subject
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business cycles
stock market volatility
interest rate volatility
probit model
- Event
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Geistige Schöpfung
- (who)
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Annaert, Jan
De Ceuster, Marc J.K.
Valckx, Nico
- Event
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Veröffentlichung
- (who)
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Bank of Finland
- (where)
-
Helsinki
- (when)
-
2001
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Annaert, Jan
- De Ceuster, Marc J.K.
- Valckx, Nico
- Bank of Finland
Time of origin
- 2001
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