In this paper, we provide two empirical findings. First, exploring 140 monthly macroeconomic and financial variables and applying the principal components method, we find 12 static factors and 8 dynamic factors from 1959 to 2005 in the US. Second, we find the real factor and interest rate factor have been less volatile since the mid 1980s. The price factor and foreign exchange factor, in contrast, became more volatile in the late 1990s. The rest of the factors show no obvious pattern. We find that the real economy and financial market fluctuations are not closely related because they are driven by different factors.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.
Find related papers by JEL classification: C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
James H. Stock & Mark W. Watson, 2003.
"Has the Business Cycle Changed and Why?,"
NBER Chapters,
in: NBER Macroeconomics Annual 2002, Volume 17, pages 159-230
National Bureau of Economic Research, Inc.
[Downloadable!]