Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Do financial variables help predict the state of the business cycle in small open economies? Evidence from Switzerland |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
|
| Journal Title | Financial markets and portfolio management |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 1934-4554 |
| Volume | 25 |
| Number | 4 |
| Page Range | 435 - 453 |
| Date | 2011 |
| Abstract Text | We analyze the forecasting ability of financial variables to predict the state of the Swiss business cycle up to eight quarters ahead. Overall, our results suggest that financial variables convey leading information for the prediction of business cycles, even when applied to a small open economy. However, we clearly find that model specifications need to be extended to include variables accounting for external shocks, such as exchange rates or international commodity prices. It also appears that the forecasting contribution of individual variables changes over time. Specifically, in the last two decades, stock market liquidity has replaced the term spread as the best single predictor. |
| Digital Object Identifier | 10.1007/s11408-011-0173-y |
| Other Identification Number | merlin-id:5917 |
| PDF File |
Download from ZORA
|
| Export |
BibTeX
EP3 XML (ZORA)
|