Measuring Real-Financial Connectedness in the U.S. Economy
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- Erhan Uluceviz & Kamil Yilmaz, 2018. "Measuring Real-Financial Connectedness in the U.S. Economy," Working Papers 2018-02, Gebze Technical University, Department of Economics.
References listed on IDEAS
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More about this item
Keywords
Macro-financial linkages; Connectedness; ADS index; Dynamic factor model; Volatility; Vector autoregression; Variance decomposition.;All these keywords.
JEL classification:
- 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)
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FDG-2018-09-10 (Financial Development & Growth)
- NEP-MAC-2018-09-10 (Macroeconomics)
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