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Do Asset Prices in Transition Countries Contain Information About Future Economic Activity?
Author:
Mr. Torsten M Sloek
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and
Mr. Peter F. Christoffersen null

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Series:
IMF Working Papers
Volume/Issue:
Volume 2000: Issue 103
Language:
English
Publication Date:
01 Jun 2000
DOI:
https://doi.org/10.5089/9781451852684.001
ISBN:
9781451852684
ISSN:
1018-5941
Pages:
25
Keywords:
WP; asset price; asset; price; Asset prices in transition countries; Leading indicator analysis; Tracking portfolio; way asset market; transition economy; asset return; market infrastructure; IP terms; leading indicator properties; asset prices in transition economy; current asset; market efficiency; market instrument; Industrial production; Asset prices; Cyclical indicators; Stocks; Stock markets; Eastern Europe
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund