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Credit spread variability in the U.S. business cycle : the Great Moderation versus the Great Recession
Hollander, Hylton; Liu, Guangling - In: Journal of banking & finance 67 (2016), pp. 37-52
Persistent link: https://www.econbiz.de/10011634640
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Forecasting growth during the Great Recession : is financial volatility the missing ingredient?
Ferrara, Laurent; Marsilli, Clément; Ortega, Juan-Pablo - In: Economic modelling 36 (2014), pp. 44-50
Persistent link: https://www.econbiz.de/10010412035
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Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model
Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020
need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility … Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First …, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility …
Persistent link: https://www.econbiz.de/10012227436
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Systemic risk, real GDP growth, and sentiment
Kanas, Angelos; Zervopoulos, Panagiotis D. - In: Review of quantitative finance and accounting 57 (2021) 2, pp. 461-485
Persistent link: https://www.econbiz.de/10012549955
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Business cycle dynamics after the Great Recession : an extended Markov-Switching Dynamic Factor Model
Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020
Persistent link: https://www.econbiz.de/10012244551
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The role of credit in predicting US recessions
Pönkä, Harri - 2015
Persistent link: https://www.econbiz.de/10011387597
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Eliciting GDP forecasts from the FOMC's minutes around the financial crisis
Ericsson, Neil R. - In: International journal of forecasting 32 (2016) 2, pp. 571-583
Persistent link: https://www.econbiz.de/10011597221
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Forecasting growth during the Great Recession : is financial volatility the missing ingredient?
Ferrara, Laurent; Marsilli, Clément; Ortega, Juan-Pablo - 2013
Persistent link: https://www.econbiz.de/10010200007
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Forecasting Growth During the Great Recession : Is Financial Volatility the Missing Ingredient?
Ferrara, Laurent - 2014
evaluate the leading role of the daily volatility of two major financial variables, namely commodity and stock prices, in their …
Persistent link: https://www.econbiz.de/10013065095
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Financial conditions and density forecasts for US output and inflation
Alessandri, Piergiorgio; Mumtaz, Haroon - In: Review of economic dynamics 24 (2017), pp. 66-78
Persistent link: https://www.econbiz.de/10011847185