Files and links (1)
SubmittedOpen Access (License Unspecified), Open
Journal article
Interactions between real economic and financial sides of the US economy in a regime-switching environment
Applied economics, v 47(60), pp 6493-6518
26 Dec 2015
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
This objective of this study is to examine the linkages between real (economic) and financial variables in the United States in a regime-switching environment that accounts explicitly for high volatility in the stock market and high stress in financial markets. Since the linearity test shows that the linear model should be rejected, we employ the Markov-switching VECM to examine the same objective using the Bayesian Markov-chain Monte Carlo method. The regime-dependent impulse response function (RDIRF) highlights the increasing importance of the financial sector of the economy during stress periods. The responses and their fluctuations are significantly greater in the high-volatility regime than in the low-volatility regime.
Metrics
Details
- Title
- Interactions between real economic and financial sides of the US economy in a regime-switching environment
- Creators
- Soodabeh Sarafrazi - Drexel UniversityShawkat Hammoudeh - IPAG Business SchoolMehmet Balcilar - University of Pretoria
- Publication Details
- Applied economics, v 47(60), pp 6493-6518
- Publisher
- Routledge
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000363342900002
- Scopus ID
- 2-s2.0-84944705102
- Other Identifier
- 991019167890604721
UN Sustainable Development Goals (SDGs)
This publication has contributed to the advancement of the following goals:
InCites Highlights
Data related to this publication, from InCites Benchmarking & Analytics tool:
- Collaboration types
- Domestic collaboration
- International collaboration
- Web of Science research areas
- Economics