EconPapers    
Economics at your fingertips  
 

Financial variables and economic activity in the Nordic countries

Petri Kuosmanen, Nasib Nabulsi and Juuso Vataja

International Review of Economics & Finance, 2015, vol. 37, issue C, 368-379

Abstract: This study focuses on the predictive content of stock returns, short-term interest rates and the term spread by using non-linear regime switching models for forecasting GDP growth in Denmark, Finland, Norway and Sweden. We apply the threshold autoregressive (TAR) model-switching approach and the novel regime-switching signals which combine the inversion of the yield curve and the recession as the signal to switch between economic states.

Keywords: Term spread; Short-term interest rates; Stock market; Forecasting; Model-switching (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056014002160
Full text for ScienceDirect subscribers only

Related works:
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:eee:reveco:v:37:y:2015:i:c:p:368-379

DOI: 10.1016/j.iref.2014.12.008

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-06-20
Handle: RePEc:eee:reveco:v:37:y:2015:i:c:p:368-379