Abstract

http://ssrn.com/abstract=317921
 
 

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Financial Market Volatility: Informative In Predicting Recessions



Jan Annaert


University of Antwerp Department of Accounting & Finance; Antwerp Management School

Marc J. K. De Ceuster


University of Antwerp - Faculty of Applied Economics - City Campus

Nico Valckx


International Monetary Fund (IMF)

August 8, 2001

Bank of Finland Discussion Paper No. 14/2001

Abstract:     
It is commonly agreed that the term spread and stock returns are useful in predicting recessions. We extend these empirical findings by examining interest rate and stock market volatility as additional recession indicators. Both risk-return analysis and the theory of investment under uncertainty provide a rationale for this extension. The results for the United States, Germany and Japan show that interest rate and stock return volatility contribute significantly to the forecasting of future recessions. This holds in particular for short term predictions.

Number of Pages in PDF File: 25

Keywords: business cycles, stock market volatility, interest rate volatility, probit model

JEL Classification: E32, E44, C25

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Date posted: July 23, 2002  

Suggested Citation

Annaert, Jan and de Ceuster, Marc J. K. and Valckx, Nico, Financial Market Volatility: Informative In Predicting Recessions (August 8, 2001). Bank of Finland Discussion Paper No. 14/2001. Available at SSRN: http://ssrn.com/abstract=317921 or http://dx.doi.org/10.2139/ssrn.317921

Contact Information

Jan Annaert (Contact Author)
University of Antwerp Department of Accounting & Finance ( email )
Faculty of Applied Economics
Prinsstraat 13
Antwerp, B-2000
Belgium
HOME PAGE: http://https://www.uantwerp.be/en/staff/jan-annaert/
Antwerp Management School ( email )
Het Brantijser
Sint-Jacobsmarkt 9-13
Antwerp, 2000
Belgium
Marc J. K. De Ceuster
University of Antwerp - Faculty of Applied Economics - City Campus ( email )
Office B-337
Prinsstraat 13
Antwerp, Antwerp 2000
Belgium
+ 32 3 220 41 24 (Phone)
+ 32 3 220 40 64 (Fax)
HOME PAGE: http://www.ua.ac.be/marc.deceuster
Nico Valckx
International Monetary Fund (IMF) ( email )
700 19th Street, N.W.
Washington, DC 20431
United States
HOME PAGE: http://www.imf.org
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