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Wei-Choun Yu
''Macroeconomic and financial market volatilities: an empirical evidence of factor model''
( 2008, Vol. 3 No.33 )
In this paper, we provide two empirical findings. First, exploring 140 monthly macroeconomic and financial variables and applying the principal components method, we find 12 static factors and 8 dynamic factors from 1959 to 2005 in the US. Second, we find the real factor and interest rate factor have been less volatile since the mid 1980s. The price factor and foreign exchange factor, in contrast, became more volatile in the late 1990s. The rest of the factors show no obvious pattern. We find that the real economy and financial market fluctuations are not closely related because they are driven by different factors.
Keywords: static factor
E3 - Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data)
Manuscript Received : Jun 03 2008 Manuscript Accepted : Jun 03 2008

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