A0494
Title: On periods of extreme asset price volatility to signal the beginning of a recession
Authors: Fabio Spagnolo - The University of Messina (Italy) [presenting]
Abstract: The interrelationship between financial markets and real economic activity is investigated. A procedure is proposed for analyzing links between stock market volatility and output growth based on a bivariate Markov switching model. The method provides a convenient way of analyzing the predictive content of different series first and second moments. An empirical application of this procedure to the U.S. is examined and discussed.
