Series: IMF Working Papers
Author(s): John Bluedorn , Jörg Decressin , and Marco Terrones
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 02 October 2013
Keywords: Macroeconomic forecasting, Uncertainty, Binary dependent variable models, price, prices, market, spread, volatility, Forecasting and Simulation, Financial Forecasting and Simulation,
This paper examines the usefulness of asset prices in predicting recessions in the G-7 countries. It finds that asset price drops are significantly associated with the beginning of a recession in these countries. I...