Financial Variables and Economic Activity in the Nordic Countries
| Autor: | Petri Kuosmanen, Nasib Nabulsi, Juuso Vataja |
|---|---|
| Přispěvatelé: | Hanken School of Economics, Finance, Vaasa |
| Jazyk: | angličtina |
| Rok vydání: | 2015 |
| Předmět: |
Macroeconomics
Finance Economics and Econometrics ta511 KOTA2014 business.industry media_common.quotation_subject education Regime switching Recession Interest rate Autoregressive model 8. Economic growth Economics Model switching Stock market Yield curve 512 Business and Management business ta512 Stock (geology) media_common |
| Zdroj: | International Review of Economics and Finance. 37:368-379 |
| ISSN: | 1059-0560 |
| Popis: | 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. The results suggest that the TAR model approach with an inversion–recession signal is preferable for predicting economic activity in all four of the Nordic countries. Among the Nordic countries, the predictive relationship between financial variables and economic activity is found to be the strongest in Finland and Sweden. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect