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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 at different levels of aggregation and...
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policy shocks in 17 countries, using data spanning 1986 - 2006. We estimate VARs for individual economies and panel VARs in …, its importance appears limited. Keywords: asset prices, monetary policy, panel VAR. …
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financial market development using extensive panel data of 113 countries over the period 2007 to 2017. By applying ARDL-PMG and …
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