Çakmaklı, Cem; Paap, Richard; van Dijk, Dick - In: Central Bank Review (CBR) 22 (2022) 4, pp. 129-140
This paper examines the lead/lag relations between size-sorted portfolio returns through the lens of financial cycles governing these returns using a novel econometric methodology. Specifically, we develop a Markov-switching vector autoregressive model that allows for imperfect synchronization...