A new index of financial conditions

We use factor augmented vector autoregressive models with time-varying coefficients and stochastic volatility to construct a financial conditions index that can accurately track expectations about growth in key US macroeconomic variables. Time-variation in the models parameters allows for the weight...

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Bibliographic details
Volume:	71
Main Author:	Koop, Gary Korobilis, Dimitris
Format:	Journal Article
Language:	English
Zielgruppe:	Trade Academic
Place of publication:	AMSTERDAM ELSEVIER SCIENCE BV 01.10.2014 Elsevier Science Publishers
published in:	European economic review Vol. 71; pp. 101 - 116
ORCID:	0000-0001-9146-3008 0000-0002-6091-378X
Data of publication:	2014-10-01
ISSN:	0014-2921 1873-572X
EISSN:	1873-572X
Discipline:	Economics
Subjects:	Economics Business & Economics Social Sciences Dual Kalman filter Dynamic factor model FORECASTING INFLATION Bayesian model averaging MONETARY-POLICY Forecasting PREDICTION
Online Access:	available in Bonn?
Database:	Social Sciences Citation Index Web of Science - Social Sciences Citation Index - 2014 Web of Knowledge Web of Science CrossRef Academic OneFile (A&I only) OpenAIRE OpenAIRE (Open Access) Database information Databases - DBIS