Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?

26 Pages Posted: 28 Feb 2001

See all articles by Peter Christoffersen

Peter Christoffersen

University of Toronto - Rotman School of Management; Copenhagen Business School; Aarhus University - CREATES

Torsten Sløk

Deutsche Bank, New York

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.

JEL Classification: F30, G14, G15, P34

Suggested Citation

Christoffersen, Peter and Sløk, Torsten Mikkel, Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?. IMF Working Paper No. 00/103. Available at SSRN: https://ssrn.com/abstract=249608 or http://dx.doi.org/10.2139/ssrn.249608

Peter Christoffersen (Contact Author)

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5P 3C4
Canada
416-946-5511 (Phone)

Copenhagen Business School

Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark

Aarhus University - CREATES

School of Economics and Management
Building 1322, Bartholins Alle 10
DK-8000 Aarhus C
Denmark

Torsten Mikkel Sløk

Deutsche Bank, New York ( email )

60 Wall Street
Mail Stop: NYC60-1815
New York, NY 10005
United States

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