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Do Asset Prices in Transition Countries Contain Information about Future Economic Activity?Peter ChristoffersenUniversity of Toronto - Rotman School of Management; Copenhagen Business School; University of Aarhus - CREATES Torsten SløkDeutsche Bank, New York IMF Working Paper No. 00/103 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.
Number of Pages in PDF File: 26 JEL Classification: F30, G14, G15, P34 working papers seriesDate posted: February 28, 2001Suggested CitationContact Information
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