Did financial factors matter during the Great Recession?

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Title: Did financial factors matter during the Great Recession?
Authors: Paccagnini, Alessia
Permanent link: http://hdl.handle.net/10197/10601
Date: Jan-2019
Online since: 2019-05-22T09:05:18Z
Abstract: Yes, they mattered. To reply to this question, we assess the predictive content of macroeconomic and financial latent factors on the key variables (Industrial Productivity, Short-term interest rate, and Inflation) during the Great Recession period (2007–2009) in the United States. In this respect, we propose a forecasting analysis using a Factor Augmented VAR model. When we estimate the model with only financial factors, we improve the predictions in the short and medium horizons. Meanwhile, when we estimate the model with only macroeconomic factors, we improve the forecasting performance in the longer horizon.
Type of material: Journal Article
Publisher: Elsevier
Journal: Economics Letters
Volume: 174
Start page: 26
End page: 30
Copyright (published version): 2018 Elsevier
Keywords: Factor modelsFactor augmented VARForecasting
DOI: 10.1016/j.econlet.2018.10.005
Language: en
Status of Item: Peer reviewed
Appears in Collections:Business Research Collection

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