EconPapers    
Economics at your fingertips  
 

Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?

Torsten M Sloek and Peter Christoffersen
Authors registered in the RePEc Author Service: Torsten Slok ()

No 00/103, IMF Working Papers from International Monetary Fund

Abstract: 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)
Date: 2000-06-01
References: Add references at CitEc
Citations: View citations in EconPapers (13) Track citations by RSS feed

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=3601 (application/pdf)

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:imf:imfwpa:00/103

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Jim Beardow ().

 
Page updated 2019-09-15
Handle: RePEc:imf:imfwpa:00/103