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...

We integrate systemic financial instability in an empirical macroeconomic model for the euro area. We find that at times of widespread financial instability the macroeconomy functions fundamentally differently from tranquil times. We employ a richly specified Markov-Switching...

Asset Prices, Booms and Recessions"" is a book on Financial Economics from a dynamic perspective. It focuses on the dynamic interaction of financial markets and economic activity. The financial markets to be studied here encompasses the money and bond market, credit market, stock market and...

This paper mainly examines the effect of financial development on the recession, while controlling for potential recession factors. Using panel data of 129 countries spanning 1990-2010, we implemented "Locally Weighted Scatterplot Smoothing", "Local Linear" and "Iteratively Reweighted Least...