A New Index of Financial Conditions
We use factor augmented vector autoregressive models with time-varying coefficient to construct a financial conditions index. The time-variation in the parameters allows for the weights attached to each financial variable in the index to evolve over time. Furthermore, we develop methods for dynamic...
|Place of publication:||
University of Strathclyde
|Online Access:||available in Bonn?|
|Database:||OpenAIRE (Open Access)
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