Measuring Real-Financial Connectedness in the U.S. Economy
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KeywordsMacro-financial linkages; Connectedness; ADS index; Dynamic factor model; Volatility; Vector autoregression; Variance decomposition.;
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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