Constructing and Characterising the Aggregate South African Financial Cycle: A Markov Regime-Switching Approach

Keyphrases

• South African 100%
• Financial Cycle 100%
• Markov Regime Switching 100%
• Regime Switching Approach 100%
• Politicians 20%
• Financial Crisis 10%
• Market Conditions 10%
• Cycle Basis 10%
• Bandpass Filter 10%
• African Markets 10%
• Dynamic Factor Model 10%
• South African Banks 10%
• Credit Conditions 10%
• Spectral Density Analysis 10%
• Switching Autoregressive Models 10%
• Macroprudential 10%
• Bank Balance Sheet 10%
• Financial Component 10%
• Juglar Cycles 10%

Economics, Econometrics and Finance

• Regime Switching 100%
• Financial Cycle 100%
• Factor Model 10%
• Financial Crisis 10%
• Bank Accounting 10%