Research Discussion Papers, Bank of Finland
No 35/2013:
Financial and economic downturns in OECD countries
Markus Haavio ()
, Caterina Mendicino and Maria Teresa Punzi
Abstract: This article empirically studies the linkages between
financial variable downturns and economic recessions. We present evidence
that real asset prices tend to lead real cycles, while loan-to-GDP and
loan-to-deposit ratios lag them. Using a probit analysis, we document that
downturns in real asset prices, particularly real house prices, are useful
leading indicators of economic recessions.
Keywords: macro-financial linkages; turning point analysis; probit models; (follow links to similar papers)
JEL-Codes: C53; E32; E37; G17; (follow links to similar papers)
13 pages, December 19, 2013
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