Do Asset Price Drops Foreshadow Recessions? / John Bluedorn, Jörg Decressin, Marco Terrones.

Format:

Book

Government document

Author/Creator:

Bluedorn, John.

Contributor:

Decressin, Jörg.

Terrones, Marco.

Series:

IMF Working Papers; Working Paper ; No. 2013/203

IMF Working Papers

Language:

English

Subjects (All):

Business cycles.

Stock price forecasting.

Housing--Prices.

Housing.

Physical Description:

1 online resource (36 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2013.

Language Note:

English

Summary:

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. In particular, the marginal effect of an equity/house price drop on the likelihood of a new recession can be substantial. Equity price drops are, however, larger and are more frequent than house price drops, making them on average more helpful as recession predictors. These findings are robust to the inclusion of the term-spread, uncertainty, and oil prices. Lastly, there is no evidence of significant bias resulting from the rarity of recession starts.

Contents:

""Cover""; ""Contents""; ""I. Introduction""; ""II. Literature review""; ""III. Data and Methodology""; ""A. The Data""; ""B. Methodology""; ""IV. Empirical Results""; ""A. A First Look at the Predictive Ability of Financial Asset Prices""; ""B. Baseline Model""; ""C. Robustness""; ""1. Estimation Method""; ""2. Additional Explanatory Variables""; ""3. Distributed Lags""; ""V. Out-of-Sample Model Evaluation""; ""VI. Conclusion""; ""References""; ""Tables""; ""1. Summary Statistics for the G-7""; ""2. Peaks and Troughs in the G-7""

""3. Explaining Recession Starts in the G-7, Baseline Results""""4. Explaining Recession Starts in the G-7, Robustness to Estimation Method""; ""5. Explaining Recession Starts in the G-7, Robustness to Additional Explanatory Variables""; ""6. Explaining Recession Starts in the G-7, Robustness to Distributed Lags""; ""Figures""; ""1. Frequency Distribution of Real Equity Price Growth""; ""2. Frequency Distribution of Real House Price Growth""; ""3. Frequency Distribution of Term Spread""; ""4. Frequency Distribution of Natural Log of Implied Equity Market Volatility""

""5. Frequency Distribution of Real Oil Price Growth""""6. Effect of Real Equity Price Growth""; ""7. Effect of Real House Price Growth""; ""8. Receiver Operating Characteristic Curve""; ""9. Frequency Distribution of Predicted Probabibilities""; ""10. One-Step Ahead Classifier""

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on online resource; title from PDF title page (ebrary, viewed May 28, 2014).

ISBN:

9781484381694

1484381696

9781475547870

1475547870

9781484354803

148435480X

OCLC:

859644138