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Do asset price drops foreshadow recessions

Author: John C Bluedorn; Jörg Decressin; Marco Terrones; International Monetary Fund. Research Department.
Publisher: Washington, D.C. : International Monetary Fund, Research Department, 2013.
Series: IMF working paper, WP/13/203.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
"This paper examines the usefulness of asset prices in predicting recessions in the G-7 countries. It finds that asset price drops are significantly associated with the beginning of a recession in these countries. In particular, the marginal effect of an equity/house price drop on the likelihood of a new recession can be substantial. Equity price drops are, however, larger and are more frequent than house price  Read more...
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Genre/Form: Electronic books
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: John C Bluedorn; Jörg Decressin; Marco Terrones; International Monetary Fund. Research Department.
ISBN: 9781475547870 1475547870
OCLC Number: 859644138
Notes: "October 2013."
Description: 1 online resource (35 pages).
Series Title: IMF working paper, WP/13/203.
Responsibility: John C. Bluedorn, Jörg Decressin, and Marco E. Terrones.

Abstract:

"This paper examines the usefulness of asset prices in predicting recessions in the G-7 countries. It finds that asset price drops are significantly associated with the beginning of a recession in these countries. In particular, the marginal effect of an equity/house price drop on the likelihood of a new recession can be substantial. Equity price drops are, however, larger and are more frequent than house price drops, making them on average more helpful as recession predictors. These findings are robust to the inclusion of the term-spread, uncertainty, and oil prices. Lastly, there is no evidence of significant bias resulting from the rarity of recession starts."--Summary.

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