A0849
Title: Business cycles and financial conditions: A non-parametric vector autoregression (NP-VAR) approach
Authors: Francesco Furno - Amazon.com (United States) [presenting]
Domenico Giannone - Johns Hopkins University (United States)
Abstract: The aim is to estimate the joint intertemporal distribution of economic and financial conditions across recessions and expansions in the US. To do so, a non-parametric vector autoregression (NP-VAR) that includes a binary recession variable, business sentiment, and financial conditions is proposed. Results show that recession risk emerges with the simultaneous occurrence of deteriorating economic conditions and tightening financial conditions.
