CMStatistics 2016: Start Registration
View Submission - CFE
Title: Measuring economic and financial conditions using a unified framework Authors:  Cem Cakmakli - Koc University (Turkey)
Hamza Demircan - KOC University (Turkey) [presenting]
Abstract: We propose a general framework where we estimate the economic conditions, or in other words, business cycle together with financial conditions using a big dataset of macroeconomic and financial variables. We do this by employing a dynamic factor model together with (Markov) switching mean and variance to capture different phases of economic financial conditions. The novel feature of the model is that we estimate a unique dynamics of cycles with varying phase shifts. Specifically, we allow for imperfect synchronization of cyclical regimes in economic and financial conditions indicators, due to phase shifts of a single common cycle. This enables us to estimate the indicators of economic and financial conditions together with their lead-lag relations in terms of time periods financial conditions indicators leading the business cycle indicator in a unified framework jointly.