Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?
Torsten M Sloek and
Authors registered in the RePEc Author Service: Torsten Slok ()
No 00/103, IMF Working Papers from International Monetary Fund
There is ample empirical evidence for developed economies that asset prices contain information about future economic developments. But is this also the case in transition economies? Using a panel of monthly data for the Czech Republic, Hungary, Poland, Russia, Slovakia, and Slovenia for the period 1994-1999 it is shown that historical values for interest rates, exchange rates, and stock prices signal future movements in real economic activity. This result has significant implications for policymakers, and a composite leading indicator based on the three asset prices is presented, which contains information about the future development of economic activity.
Keywords: Transition economies; Asset prices in transition countries, Leading indicator analysis, Tracking portfolio, transition countries, financial sector, stock market, financial sector development (search for similar items in EconPapers)
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