探索美国金融和实体经济间的联系：进行面板单位根检验和协整分析[文献翻译].docVIP

本科毕业论文外文翻译 外文题目：Exploring the finance-real economy link in US: empirical evidence from panel unit root and cointegration analysis instability 出 处： Empir Econ 作 者： Abdou-Aziz Niang. Abdoulaye Diagne.Marie-claude Pichery 原文： Exploring the finance-real economy link in U.S.: empirical evidence from panel unit root and cointegration analysis 1 Introduction The bursting of the bubble in U.S. financial markets in 2008 forced some of the largest and most vulnerable banks and insurance companies in the U.S. to declare bankruptcy or seek financial aid. Market confidence decreased sharply and despite many efforts, the U.S. economy inevitably plunged into recession. In order to gain an understanding of likely developments in this economy, it is important to know which links actually exist between financial markets and the real economy in the U.S. This study aims to analyze these links, targeting key areas of the U.S. economy such as manufacturing, housing, and employment. The analysis will also address the relationship between the accumulation of twin deficits and the state of U.S. financial markets. Specifically, we will discuss the relationships between the common factors responsible for co-fluctuations between macroeconomic data series and the variables identified as factors observed in financial markets. The use of observed variables as proxies for underlying factors is becoming an increasingly common practice. This approach was used by Chen et al. (1986) who, in the context of arbitrage pricing theory, show that unobserved financial factors are related to inflation. The three factors that we adopt are those of Fama and French(1993). We use the Bai and Ng (2006) test to look for relations between the common factors in the different sectors of the U.S. economy. These common factors are estimated using principal component analysis. Thus, we use a factor model to capture the co-movements between ea