Guerrón-Quintana, Pablo; Khazanov, Alexey; Zhong, Molin - 2023
Through the lens of a nonlinear dynamic factor model, we study the role of exogenous shocks and internal propagation forces in driving the fluctuations of macroeconomic and financial data. The proposed model 1) allows for nonlinear dynamics in the state and measurement equations; 2) can generate...