Analyzing business cycle asymmetries in a multi-level factor model

Autor:	Jörg Breitung, Sandra Eickmeier
Rok vydání:	2015
Předmět:	Macroeconomics Economics and Econometrics media_common.quotation_subject Business cycle Economics Recession Finance media_common Factor analysis
Zdroj:	Economics Letters. 127:31-34
ISSN:	0165-1765
DOI:	10.1016/j.econlet.2014.12.001
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::05a928e3fcc8656b8acdead7c5b6f760 https://doi.org/10.1016/j.econlet.2014.12.001 Zobrazit plný text záznamu Full Text from ScienceDirect