Macro-financial linkages and business cycles: A factor-augmented probit approach

C. Bellégo and Laurent Ferrara

Economic Modelling, 2012, vol. 29, issue 5, 1793-1797

Abstract: In this paper, we analyze macro-financial linkages in the euro area by implementing an innovative factor-augmented probit model estimated using a large database. In particular, our model specification enables the identification of the leading influence of financial variables on euro area business cycles, in addition to the coincident information conveyed by standard macroeconomic variables. We also point out that dynamic factor models lead to more accurate replication of business cycles than static ones.

Keywords: Business cycles; Financial variables; Factor-augmented probit (search for similar items in EconPapers)
JEL-codes: C25 C38 E32 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S026499931200168X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:5:p:1793-1797

DOI: 10.1016/j.econmod.2012.05.033

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().