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VFCI / vfciBusinessCycles

Research project exploring the relationship between financial conditions and business cycles.
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Targeting the other variables in the VAR with linear het reg id #58

Closed matdehaven closed 4 months ago

matdehaven commented 4 months ago

Need to figure out if some of the variables should be targeted in differences or levels, etc.

matdehaven commented 4 months ago

report "hetreg-int-vfci-all.pdf" targets all 10 internal variables of the VAR to construct an internal VFCI and compares with the max-share-unemployment.

Targeting unemployment has by far the highest correlation of 0.75. The next closest is Inflation (!) at -0.4.