期刊名称：Discussion Papers / Business School, University of Strathclyde
出版年度：2013
卷号：2013
出版社：University of Strathclyde
摘要：We use factor augmented vector autoregressive models with time-varying coe¢ cients to construct a nancial conditions index. The time-variation in the parameters allows for the weights attached to each nancial variable in the index to evolve over time. Furthermore, we develop methods for dynamic model averaging or selection which allow the nancial variables entering into the FCI to change over time. We discuss why such extensions of the existing literature are important and show them to be so in an empirical application involving a wide range of nancial variables.
关键词：nancial stress; dynamic model averaging; forecasting
