Scandinavian Working Papers in Economics
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Bank of Finland 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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