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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
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DOI: 10.1016/j.iref.2014.12.008

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