What is the linkage between real growth in the Euro area and global financial market conditions?

Jean-Michel Sahut, Medhi Mili () and Frédéric Teulon
Additional contact information
Medhi Mili: University of Poitiers & University of Sfax

Economics Bulletin, 2012, vol. 32, issue 3, 2464-2480

Abstract: This paper deals with transitiontransmission mechanisms through which world financial market conditions indicators affect real economic growth in the Euro area. The informational content of financial variables for predicting real economic growth is assessed, allowing for asymmetric responses to shocks. A nonlinear framework is developed based on a smooth transition model for which the effects of shocks can vary across business cycles when financial indicators modify both the endogenous and state variables. Global financial variables are shown to significantly affect real growth in the Euro area, particularly during periods of recession. Changes in stock market index and yield slope have asymmetric effects on real growth. In recessionary periods, the slope of the US yield curve does not have a significant impact on growth in the Euro area.

Keywords: smooth transition models; nonlinear models; economic growth; business cycle; stock market; yield spread. (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2012-09-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2012/Volume32/EB-12-V32-I3-P237.pdf (application/pdf)

Related works:
Working Paper: What is the linkage between real growth in the Euro area and global financial market conditions ? (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-11-00511

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().