Unemployment, Investment and Global Expected Returns: A Panel FAVAR Approach
Ron Smith; Gylfi Zoega;
Subject: Investment, unemployment, principal components.
jel: jel:J1 | jel:E2
We consider the hypothesis that a common factor, global expected returns, drives unemployment and investment in 21 OECD countries over the period 1960-2002. We investigate this hypothesis using a panel-factor augmented-vector autoregression (FAVAR). We first estimate th... View more