Factor analysis of permanent and transitory dynamics of the US economy and the stock market
通过多元动态因子模型分析美国经济活动与股票市场的永久和暂时成分，发现产出和股价有显著暂时成分，经济趋势完美预测战后衰退，暂时股票成分平均领先一个季度预示衰退。
We analyze dynamics of the permanent and transitory components of the US economic activity and the stock market obtained by multivariate dynamic factor modeling. We capture asymmetries over the phases of economic and stock market trends and cycles using independent Markov-switching processes. We show that both output and stock prices contain significant transitory components, while consumption and dividends are useful to identify their respective permanent components. The extracted economic trend perfectly predicts all post-war recessions. Our results shed light on the nature of the bilateral predictability of the economy and the stock market. The transitory stock market component signals recessions with an average lead of one quarter, whereas the market trend is correlated with the economic trend with varying lead/lag times. Copyright © 2010 John Wiley & Sons, Ltd.