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...

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Bibliographic details
Main Author: Koop, Gary
Korobilis, Dimitris
Format: Publication
Language: English
Place of publication: University of Strathclyde
Online Access: available in Bonn?
Database: OpenAIRE (Open Access)
OpenAIRE
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