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
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
Data of publication: 2014-10-01
ISSN: 0014-2921
EISSN: 1873-572X
Discipline: Economics
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index - 2014
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