Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty

This paper analyses the role of a news-based measure of economic policy uncertainty (EPU) in explaining time-varying co-movements in economic activity and volatility of 48 US states and 51 largest MSAs. In this regard, we, first, estimate a dynamic factor model with time-varying loadings and stochas...

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Bibliographic Details

Main Authors:	Rangan Gupta, J. Ma, Marian Risse, Mark Wohar
Format:	Default Article
Published:	2018
Subjects:	Other commerce, management, tourism and services not elsewhere classified Common business cycles Common stochastic volatility Time-varying dynamic factor models Quantile-on-quantile regressions Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/35428
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