Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/211892 
Year of Publication: 
2001
Series/Report no.: 
Bank of Finland Discussion Papers No. 14/2001
Publisher: 
Bank of Finland, Helsinki
Abstract: 
It is commonly agreed that the term spread and stock returns are useful in predicting recessions.We extend these empirical findings by examining interest rate and stock market volatility as additional recession indicators.Both risk-return analysis and the theory of investment under uncertainty provide a rationale for this extension.The results for the United States, Germany and Japan show that interest rate and stock return volatility contribute significantly to the forecasting of future recessions.This holds in particular for short term predictions.
Subjects: 
business cycles
stock market volatility
interest rate volatility
probit model
Persistent Identifier of the first edition: 
ISBN: 
951-686-729-4
Document Type: 
Working Paper

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