Analyzing business cycle asymmetries in a multi-level factor model

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.

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Year of publication:	2015
Authors:	Breitung, Jörg ; Eickmeier, Sandra
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 127.2015, C, p. 31-34
Publisher:	Elsevier
Subject:	Factor models \| Business cycle \| Asymmetries

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Type of publication:	Article
Classification:	c38
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189560