Financial and economic downturns in OECD countries
Haavio, Markus; Mendicino, Caterina; Punzi, Maria Teresa (19.12.2013)
Numero
35/2013Julkaisija
Bank of Finland
2013
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi:bof-20140807297Tiivistelmä
This article empirically studies the linkages between financial variable downturns and economic recessions. We present evidence that real asset prices tend to lead real cycles, while loan-to-GDP and loan-to-deposit ratios lag them. Using a probit analysis, we document that downturns in real asset prices, particularly real house prices, are useful leading indicators of economic recessions. Keywords: macro-financial linkages; turning point analysis; probit models JEL classification numbers: C53, E32, E37, G17
Julkaisuhuomautus
Published in Applied Economics Letters, Volume 21, Issue 6, April 2014, Pages 407-412 ; https://doi.org/10.1080/13504851.2013.864025