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Do asset prices in transition countries contain information about future economic activity?

Author: Peter F Christoffersen; Torsten Sløk; International Monetary Fund. Research Department.
Publisher: Washington, D.C. : International Monetary Fund, ©2000.
Series: IMF working paper, WP/00/103.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
The purpose of this paper is to assess if the prices observed in stock, money, and foreign exchange markets in transition countries contain information about future real economic activity. This is investigated in three different empirical analyses, examining if stock prices, short term interest rates, and the exchange rate signal future movements in industrial production, unemployment, and real wages. The conclusion  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Christoffersen, Peter F.
Do asset prices in transition countries contain information about future economic activity?.
Washington, D.C. : International Monetary Fund, ©2000
(OCoLC)44847404
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Peter F Christoffersen; Torsten Sløk; International Monetary Fund. Research Department.
ISBN: 1281155810 9781281155818
OCLC Number: 647493262
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (25 pages) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: IMF working paper, WP/00/103.
Responsibility: prepared by Peter Christoffersen and Torsten Sløk.

Abstract:

The purpose of this paper is to assess if the prices observed in stock, money, and foreign exchange markets in transition countries contain information about future real economic activity. This is investigated in three different empirical analyses, examining if stock prices, short term interest rates, and the exchange rate signal future movements in industrial production, unemployment, and real wages. The conclusion is that asset prices do contain information about future movements in real variables, and in particular it is found that asset prices significantly signal future movements in industrial production. These results have important implications for policymakers in transition countries and a composite leading indicator based on the stock price, the interest rate, and the exchange rate is suggested which can yield information about future developments in real activity.

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