Real economic activity and state of financial markets

Szymon Grabowski ()
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Szymon Grabowski: Warsaw School of Economics

No 7, Working Papers from Department of Applied Econometrics, Warsaw School of Economics

Abstract: This study examines the relation between real economic activity and condition of financial markets in Poland in the framework of Consumption Based Capital Asset Pricing Model (CCAPM). The article analyses the relation between yield spreads calculated for Polish debt securities and real economic activity. Since CCAPM is the framework of presented analysis the value of real retail sale is used as a measure of real economic activity (here level of real consumption). Furthermore, since host of researchers apply in their studies the whole spectrum of measures of real economic activity the study is extended to encompass also the supply side of the economy. The outcomes for Polish economy suggest that there is some evidence that financial markets may facilitate to forecast the real economic activity. The conclusions from models evaluated for supply and demand side of economy are coherent. Although, the research is conducted on monthly time series the results are consistent with quarterly analyses done for other economies.

Keywords: CCAPM; economic growth; financial markets; term spreads; expectations. (search for similar items in EconPapers)
JEL-codes: E43 E44 G12 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2007-05-22
New Economics Papers: this item is included in nep-mac
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