Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2014
activity assuming that both variables are driven by the same set of unobserved common factors. We further assume that these … common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, we … shocks on business cycles, over and above those driven by the common factors. We interpret this evidence as suggesting that …