Financial variables and economic activity in the Nordic countries
Nasib Nabulsi and
International Review of Economics & Finance, 2015, vol. 37, issue C, 368-379
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)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:37:y:2015:i:c:p:368-379
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