Modelling the Australasian Financial Cycle: A Markov-Regime Switching Approach
Modelling the Australasian Financial Cycle: A Markov-Regime Switching Approach
Author(s): Milan Christian de WetSubject(s): Economy, Financial Markets
Published by: Τεχνολογικό Εκπαιδευτικό Ίδρυμα Ανατολικής Μακεδονίας και Θράκης
Keywords: Financial cycle; dynamic factor model; Markov-Switching; cyclical extraction; cyclical asymmetries;
Summary/Abstract: Purpose: The importance of the financial cycle has become a central point of consideration for policymakers since the 2007-08 financial crisis. This study aimed to construct and characterize the aggregate Australasian financial cycle.
Journal: International Journal of Business and Economic Sciences Applied Research (IJBESAR)
- Issue Year: 14/2021
- Issue No: 1
- Page Range: 69-79
- Page Count: 11
- Language: English
