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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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The authors 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, they analyze the dynamics of co-movement and compare recent...
Persistent link: https://www.econbiz.de/10011992406
Persistent link: https://www.econbiz.de/10013192666
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In this paper we ask whether tighter monetary and fiscal policies are the right way to face a sudden stop (a sudden curtailment in capital flows) in a typical emerging economy. We develop exogenous measures of fiscal and monetary policy response and conclude that tighter policies are associated...
Persistent link: https://www.econbiz.de/10013104754
studied. This research aims to investigate the interdependent relationships between world GDP, world commodity prices, world … autoregression (TVAR) to capture regime changes in the variables of the world economy. World economic data and Indonesia's economic … data were utilized to prove different responses to the world economic situation in two different regimes. This research …
Persistent link: https://www.econbiz.de/10012799838