Analyzing business cycle asymmetries in a multi-level factor model

Jörg Breitung () and Sandra Eickmeier

Economics Letters, 2015, vol. 127, issue C, 31-34

Abstract: We study the business cycle in the US over 1959–2011 using a large-dimensional multi-level factor model. We find notable asymmetries over the business cycle, but the bulk of common dynamics is stable over time. The comovement among variables is larger in recessions compared to expansions. The recession factor is highly correlated with monetary and financial variables, whereas expansion and symmetric factors are mainly related to real activity variables.

Keywords: Factor models; Business cycle; Asymmetries (search for similar items in EconPapers)
JEL-codes: C38 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:127:y:2015:i:c:p:31-34

DOI: 10.1016/j.econlet.2014.12.001

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