Driving Factors During the 2007-2009 Credit Crisis

3 Pages Posted: 8 Feb 2013

Date Written: February 5, 2013

Abstract

This article focuses on investigating the temporal evolution of four asset classes - equity (S&P 500 Index), bond (JPM emerging markets bond Index), hedge fund (HFRI fund weighted composite index non-investable) and commodity (S&P GSCI commodity Index) using principal component analysis (PCA). PCA transforms a number of correlated time-series into a smaller number of uncorrelated time-series. We show that before the 2007-2009 credit crisis, the market was driven by commodities only, whereas, during the credit crisis (2007-2009) and in the years after (2010-2012), equities and commodities drove the market.

Keywords: Principal component analysis, credit crisis

Suggested Citation

Nehra, Krishna and Favre, Laurent, Driving Factors During the 2007-2009 Credit Crisis (February 5, 2013). Available at SSRN: https://ssrn.com/abstract=2212040 or http://dx.doi.org/10.2139/ssrn.2212040

Krishna Nehra (Contact Author)

AlternativeSoft.com ( email )

Alternative Software Development
Witikonerstrasse 54
8032 Zurich
United States

HOME PAGE: http://www.alternativesoft.com/

Laurent Favre

AlternativeSoft ( email )

London
United Kingdom

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