Haavio, Markus Mendicino, Caterina Punzi, Maria Teresa
Year of Publication:
Bank of Finland Research Discussion Papers 35/2013
This article empirically studies the linkages between financial variable downturns and economic recessions. We present evidence that real asset prices tend to lead real cycles, while loan-to-GDP and loan-to-deposit ratios lag them. Using a probit analysis, we document that downturns in real asset prices, particularly real house prices, are useful leading indicators of economic recessions.
macro-financial linkages turning point analysis probit models