Skema > Faculty and Research > Publication-details





Macro-financial linkages and business cycles: A factor-augmented probit approach
Christophe Bellego
2012, Economic Modelling, 29(5), pp.1793-1797
In this paper, we analyze macro-financial linkages in the euro area by implementing an innovative factor-augmented probit model estimated using a large database. In particular, our model specification enables the identification of the leading influence of financial variables on euro area business cycles, in addition to the coincident information conveyed by standard macroeconomic variables. We also point out that dynamic factor models lead to more accurate replication of business cycles than static ones.

Why choose SKEMA?
At the top of French and international rankings SEE RANKINGS
A global business school SEE SKEMA NEWS
A wide range of programmes COMPARE