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

Torsten Sloek and Peter Christoffersen

No 2000/103, 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: WP; asset price; asset; price; Asset prices in transition countries; Leading indicator analysis; Tracking portfolio; way asset market; transition economy; asset return; market infrastructure; IP terms; leading indicator properties; asset prices in transition economy; current asset; market efficiency; market instrument; Industrial production; Asset prices; Cyclical indicators; Stocks; Stock markets; Eastern Europe (search for similar items in EconPapers)
Pages: 25
Date: 2000-06-01
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Citations: View citations in EconPapers (18)

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