Financial and Economic Downturns in OECD Countries
19 Pages Posted: 13 Mar 2014
Date Written: December 19, 2013
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
JEL Classification: C53, E32, E37, G17
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