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

By Torsten M Sloek, Peter F. Christoffersen

June 1, 2000

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Format: Chicago

Torsten M Sloek, and Peter F. Christoffersen Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?, (USA: International Monetary Fund, 2000) accessed December 22, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Asset prices, Cyclical indicators, Economic growth, Financial institutions, Financial markets, Financial sector development, Industrial production, Prices, Production, Stock markets, Stocks

Keywords: Asset, Asset price, Asset prices, Asset prices in transition countries, Asset prices in transition economy, Asset return, Current asset, Cyclical indicators, Eastern Europe, Industrial production, IP terms, Leading indicator analysis, Leading indicator properties, Market efficiency, Market infrastructure, Market instrument, Price, Stock markets, Stocks, Tracking portfolio, Transition economy, Way asset market, WP

Publication Details

Pages:

25
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2000/103
Stock No:

WPIEA1032000
ISBN:

9781451852684
ISSN:

1018-5941

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