 The Financial Indicators Leading Real Economic Activity - the Case of PolandSzymon Grabowski ()
Central European Journal of Economic Modelling and Econometrics, 2009, vol. 1, issue 4, 311-332 Abstract: In many research studies it is argued that it is possible to extract useful information about future real economic activity from the performance of financial markets. However, this study goes further and shows that it is not only possible to use expectations derived from financial markets to forecast future economic activity, but that data about the financial system can be used for this purpose as well. This paper sheds light on the ability to forecast real economic activity, based on additional and different financial variables than what have been presented so far. The research is conducted for the Polish emerging economy on the basis of monthly data. The results suggest that, based purely on the data from the financial system, it is possible to construct reasonable measures that can, even for an emerging economy, effectively forecast future real economic activity. The outcomes are proved by two different econometric methods, namely, by a time series analysis and by a probit model. All presented models are tested in-sample and out-of-sample. Keywords: forecasting; rational expectations; financial system; term spreads; real economic activity (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:1:y:2009:i:4:p:311-332 Access Statistics for this article More articles in Central European Journal of Economic Modelling and Econometrics from Central European Journal of Economic Modelling and Econometrics |
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