We employ a threshold vector autoregression (TVAR) methodology in order to examine the nonlinear nature of the interactions among credit market conditions, monetary policy, and economic activity. We depart from the existing literature on the subject along two dimensions. First, we focus on a...

This paper examines how foreign portfolio investment (FPI) in the US and its components affect the US macroeconomic conditions. We estimate a Dynamic Factor Model to extract comovements from 31 indicators to obtain three composite measures of the US market conditions, which correspond to real...