Modelling the Australasian Financial Cycle: A Markov-Regime Switching Approach

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.

Saved in:
Bibliographic Details
Published in:International Journal of Business and Economic Sciences Applied Research 2021-01, Vol.14 (1), p.69-79
Main Author: de Wet, Milan Christian
Format: Article
Language:English
Subjects:
cyclical asymmetries
cyclical extraction
dynamic factor model
Economy
Financial cycle
Financial Markets
MarkovSwitching
Citations: Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary: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.
ISSN:2408-0098
2408-0101
2408-0101
DOI:10.25103/ijbesar.141.06