Financial and Economic Downturns in OECD Countries

19 Pages Posted: 13 Mar 2014

See all articles by Markus Haavio

Markus Haavio

Bank of Finland - Research

Caterina Mendicino

Bank of Portugal; European Central Bank (ECB) - Directorate General Research

Maria Teresa Punzi

Vienna University of Economics and Business

Date Written: December 19, 2013

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

JEL Classification: C53, E32, E37, G17

Suggested Citation

Haavio, Markus and Mendicino, Caterina and Punzi, Maria Teresa, Financial and Economic Downturns in OECD Countries (December 19, 2013). Bank of Finland Research Discussion Paper No. 35/2013. Available at SSRN: https://ssrn.com/abstract=2370285 or http://dx.doi.org/10.2139/ssrn.2370285

Markus Haavio (Contact Author)

Bank of Finland - Research ( email )

P.O. Box 160
FIN-00101 Helsinki
Finland

Caterina Mendicino

Bank of Portugal ( email )

Rua Francisco Ribeiro, 2
Lisbon, 1150-165
Portugal

European Central Bank (ECB) - Directorate General Research ( email )

Kaiserstrasse 29
D-60311 Frankfurt am Main
Germany

Maria Teresa Punzi

Vienna University of Economics and Business ( email )

Welthandelsplatz 1
Vienna, Wien 1020
Austria

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