Publication:
Measuring real-financial connectedness in the us economy

dc.contributor.coauthorUluceviz, Erhan
dc.contributor.departmentDepartment of Economics
dc.contributor.kuauthorYılmaz, Kamil
dc.contributor.schoolcollegeinstituteCollege of Administrative Sciences and Economics
dc.date.accessioned2024-11-09T23:58:59Z
dc.date.issued2021
dc.description.abstractWe 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.indexedbyWOS
dc.description.indexedbyScopus
dc.description.openaccessYES
dc.description.publisherscopeInternational
dc.description.sponsoredbyTubitakEuN/A
dc.description.sponsorshipScientific 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.volume58
dc.identifier.doi10.1016/j.najef.2021.101554
dc.identifier.eissn1879-0860
dc.identifier.issn1062-9408
dc.identifier.quartileQ2
dc.identifier.scopus2-s2.0-85115391331
dc.identifier.urihttps://doi.org/10.1016/j.najef.2021.101554
dc.identifier.urihttps://hdl.handle.net/20.500.14288/15564
dc.identifier.wos739636500017
dc.keywordsMacro-financial linkages
dc.keywordsConnectedness
dc.keywordsADS index
dc.keywordsDynamic factor model
dc.keywordsVolatility
dc.keywordsVector autoregression
dc.keywordsVariance decomposition
dc.language.isoeng
dc.publisherElsevier Science Inc
dc.relation.ispartofNorth American Journal of Economics and Finance
dc.subjectBusiness enterprises
dc.subjectFinance
dc.subjectEconomics
dc.titleMeasuring real-financial connectedness in the us economy
dc.typeJournal Article
dspace.entity.typePublication
local.contributor.kuauthorYılmaz, Kamil
local.publication.orgunit1College of Administrative Sciences and Economics
local.publication.orgunit2Department of Economics
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