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

Author/Editor:

Torsten M Sloek ; Peter F. Christoffersen

Publication Date:

June 1, 2000

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

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.

Series:

Working Paper No. 00/103

Subject:

English

Publication Date:

June 1, 2000

ISBN/ISSN:

9781451852684/1018-5941

Stock No:

WPIEA1032000

Format:

Paper

Pages:

25

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