Universität zu Köln

Breitung, Jörg ORCID: 0000-0001-7367-0863 and Eickmeier, Sandra (2015). Analyzing business cycle asymmetries in a multi-level factor model. Economics Letters, 127. 31 - 35. LAUSANNE: ELSEVIER SCIENCE SA. ISSN 1873-7374

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Abstract

We study the business cycle in the US over 1959-2011 using a large-dimensional multi-level factor model. We find notable asymmetries over the business cycle, but the bulk of common dynamics is stable over time. The comovement among variables is larger in recessions compared to expansions. The recession factor is highly correlated with monetary and financial variables, whereas expansion and symmetric factors are mainly related to real activity variables. (C) 2014 Elsevier B.V. All rights reserved.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Breitung, Jörg UNSPECIFIED orcid.org/0000-0001-7367-0863 UNSPECIFIED Eickmeier, Sandra UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-413084
DOI:	10.1016/j.econlet.2014.12.001
Journal or Publication Title:	Economics Letters
Volume:	127
Page Range:	31 - 35
Date:	2015
Publisher:	ELSEVIER SCIENCE SA
Place of Publication:	LAUSANNE
ISSN:	1873-7374
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language CREDIT SPREADS; PREDICTORS; RECESSION; NUMBER Multiple languages Economics Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/41308