Publication: Measuring real-financial connectedness in the us economy
dc.contributor.coauthor | Uluceviz, Erhan | |
dc.contributor.department | Department of Economics | |
dc.contributor.kuauthor | Yılmaz, Kamil | |
dc.contributor.schoolcollegeinstitute | College of Administrative Sciences and Economics | |
dc.date.accessioned | 2024-11-09T23:58:59Z | |
dc.date.issued | 2021 | |
dc.description.abstract | We analyze the connectedness between the real and the financial sectors of the U.S. economy. Using the weekly ADS index of the Philadelphia Fed (the widely used business conditions indicator) to represent the real side, we find that during times of financial distress and business cycle turning points, the direction of connectedness runs from the real sector to financial markets. The ADS index is derived from a model containing a measure of term structure along with real variables. Therefore, it might not be the best representative of the real activity used in the connectedness analysis. As an alternative, we derive a real activity index (RAI) from a dynamic factor model of the real sector variables only. The behavior of RAI over time is quite similar to that of the ADS index. When we include RAI to represent the real side, connectedness from the real side to financial markets weakens substantially, while the connectedness from financial markets to the real side becomes more pronounced. | |
dc.description.indexedby | WOS | |
dc.description.indexedby | Scopus | |
dc.description.openaccess | YES | |
dc.description.publisherscope | International | |
dc.description.sponsoredbyTubitakEu | N/A | |
dc.description.sponsorship | Scientific and Technological Research Council of Turkey (TUBITAK) [114K954] We thank The Scientific and Technological Research Council of Turkey (TUBITAK) for financial support through Grant No. 114K954. The usual disclaimer applies. | |
dc.description.volume | 58 | |
dc.identifier.doi | 10.1016/j.najef.2021.101554 | |
dc.identifier.eissn | 1879-0860 | |
dc.identifier.issn | 1062-9408 | |
dc.identifier.quartile | Q2 | |
dc.identifier.scopus | 2-s2.0-85115391331 | |
dc.identifier.uri | https://doi.org/10.1016/j.najef.2021.101554 | |
dc.identifier.uri | https://hdl.handle.net/20.500.14288/15564 | |
dc.identifier.wos | 739636500017 | |
dc.keywords | Macro-financial linkages | |
dc.keywords | Connectedness | |
dc.keywords | ADS index | |
dc.keywords | Dynamic factor model | |
dc.keywords | Volatility | |
dc.keywords | Vector autoregression | |
dc.keywords | Variance decomposition | |
dc.language.iso | eng | |
dc.publisher | Elsevier Science Inc | |
dc.relation.ispartof | North American Journal of Economics and Finance | |
dc.subject | Business enterprises | |
dc.subject | Finance | |
dc.subject | Economics | |
dc.title | Measuring real-financial connectedness in the us economy | |
dc.type | Journal Article | |
dspace.entity.type | Publication | |
local.contributor.kuauthor | Yılmaz, Kamil | |
local.publication.orgunit1 | College of Administrative Sciences and Economics | |
local.publication.orgunit2 | Department of Economics | |
relation.isOrgUnitOfPublication | 7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3 | |
relation.isOrgUnitOfPublication.latestForDiscovery | 7ad2a3bb-d8d9-4cbd-a6a3-3ca4b30b40c3 | |
relation.isParentOrgUnitOfPublication | 972aa199-81e2-499f-908e-6fa3deca434a | |
relation.isParentOrgUnitOfPublication.latestForDiscovery | 972aa199-81e2-499f-908e-6fa3deca434a |
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