Potjagailo, Galina; Wolters, Maik H. - 2019
We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced … economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement … perspective, global co-movement in financial variables is not a new phenomenon, but its importance has increased for some …