Did financial factors matter during the Great Recession?

Alessia Paccagnini

    Research output: Contribution to journalArticle

    Abstract

    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.
    Original languageEnglish
    Pages (from-to)26-30
    JournalEconomics Letters
    Volume174
    DOIs
    Publication statusPublished - 2019

    Fingerprint

    Dive into the research topics of 'Did financial factors matter during the Great Recession?'. Together they form a unique fingerprint.

    Cite this