Paccagnini, AlessiaAlessiaPaccagnini2019-05-222019-05-222018 Elsev2019-01Economics Letters0165-1765http://hdl.handle.net/10197/10601Yes, 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.enThis is the author’s version of a work that was accepted for publication in Economics Letters. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Economics Letters (174, (2019)) https://doi.org/10.1016/j.econlet.2018.10.005Factor modelsFactor augmented VARForecastingC38C53C3E32E3Journal Article174263010.1016/j.econlet.2018.10.0052018-11-01https://creativecommons.org/licenses/by-nc-nd/3.0/ie/