Fluctuating Covariances in Swedish Macro Data
1994 (English)Report (Other academic)
Swedish macro series were exceptionally volatile during the 1920s and 1930s, but correlations remained fairly stable. The driving force behind this is identified within an unobserved components model by linking it to a measure of "World GDP."
Place, publisher, year, edition, pages
Stockholm: IIES , 1994. , 9 p.
Seminar Paper / Institute for International Economic Studies, Stockholm University, ISSN 0347-8769 ; 567
IdentifiersURN: urn:nbn:se:su:diva-41891OAI: oai:DiVA.org:su-41891DiVA: diva2:342799