Data for: A new index of financial conditions

Abstract of associated article: 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׳...

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Bibliographic details
Main Author: Korobilis, Dimitris
Format: Data Set
Language: English
Place of publication: Data Archiving and Networked Services (DANS) 01.01.2016
Data of publication: 2016-01-01
Discipline: Economics
Online Access: available in Bonn?
Database: OpenAIRE (Open Access)
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