TY - JOUR
T1 - Did financial factors matter during the Great Recession?
AU - Paccagnini, Alessia
PY - 2019
Y1 - 2019
N2 - Yes, they mattered. To reply to this question, we assess the predictive content of macroeconomic and financial latent factors on the key variables (Industrial Productivity, Short-term interest rate, and Inflation) during the Great Recession period (2007–2009) in the United States. In this respect, we propose a forecasting analysis using a Factor Augmented VAR model. When we estimate the model with only financial factors, we improve the predictions in the short and medium horizons. Meanwhile, when we estimate the model with only macroeconomic factors, we improve the forecasting performance in the longer horizon.
AB - Yes, they mattered. To reply to this question, we assess the predictive content of macroeconomic and financial latent factors on the key variables (Industrial Productivity, Short-term interest rate, and Inflation) during the Great Recession period (2007–2009) in the United States. In this respect, we propose a forecasting analysis using a Factor Augmented VAR model. When we estimate the model with only financial factors, we improve the predictions in the short and medium horizons. Meanwhile, when we estimate the model with only macroeconomic factors, we improve the forecasting performance in the longer horizon.
U2 - 10.1016/j.econlet.2018.10.005
DO - 10.1016/j.econlet.2018.10.005
M3 - Article
SN - 0165-1765
VL - 174
SP - 26
EP - 30
JO - Economics Letters
JF - Economics Letters
ER -