Breitung, Joerg and Eickmeier, Sandra (2015). Analyzing business cycle asymmetries in a multi-level factor model. Econ. Lett., 127. S. 31 - 35. LAUSANNE: ELSEVIER SCIENCE SA. ISSN 1873-7374
Full text not available from this repository.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: |
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| URN: | urn:nbn:de:hbz:38-413084 | ||||||||||||
| DOI: | 10.1016/j.econlet.2014.12.001 | ||||||||||||
| Journal or Publication Title: | Econ. Lett. | ||||||||||||
| Volume: | 127 | ||||||||||||
| Page Range: | S. 31 - 35 | ||||||||||||
| Date: | 2015 | ||||||||||||
| Publisher: | ELSEVIER SCIENCE SA | ||||||||||||
| Place of Publication: | LAUSANNE | ||||||||||||
| ISSN: | 1873-7374 | ||||||||||||
| Language: | English | ||||||||||||
| Faculty: | Unspecified | ||||||||||||
| Divisions: | Unspecified | ||||||||||||
| Subjects: | no entry | ||||||||||||
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| URI: | http://kups.ub.uni-koeln.de/id/eprint/41308 |
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