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Dynamic factor models with common (drifting) stochastic trends
Kaufmann, Sylvia; Strachan, Rodney W. - 2024
It is common to transform data to stationarity, such as by differencing and demeaning, before estimating factor models in macroeconomics. Imposing these transformations, however, limit opportunities to learn about trending behaviour. Trends and deterministic processes can play a central role in...
Persistent link: https://www.econbiz.de/10014464829
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Changing dynamics at the zero lower bound
Bäurle, Gregor; Kaufmann, Daniel; Kaufmann, Sylvia; … - 2016
The interaction of macroeconomic variables may change as the nominal shortterm interest rates approaches zero. In this paper, we propose an empirical model capturing these changing dynamics with a time-varying parameter vector autoregressive process. State-dependent parameters are determined by...
Persistent link: https://www.econbiz.de/10011440078
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Factor augmented VAR revisited : a sparse dynamic factor model approach
Beyeler, Simon; Kaufmann, Sylvia - 2016
We combine the factor augmented VAR framework with recently developed estimation and identification procedures for sparse dynamic factor models. Working with a sparse hierarchical prior distribution allows us to discriminate between zero and non-zero factor loadings. The non-zero loadings...
Persistent link: https://www.econbiz.de/10011558192
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K-state switching models with time-varying transition distributions : does credit growth signal stronger effects of variables on inflation?
Kaufmann, Sylvia - 2014
Two Bayesian sampling schemes are outlined to estimate a K-state Markov switching model with time-varying transition probabilities. Data augmentation for the multinomial logit model of the transition probabilities is alternatively based on a random utility and a difference in random utility...
Persistent link: https://www.econbiz.de/10010493611
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Bank lending in Switzerland: capturing crosssectional heterogeneity and asymmetry over time
Beutler, Toni; Gubler, Matthias; Hauri, Simona; … - 2020
We study the bank lending channel in Switzerland over three decades using unbalanced quarterly bank-individual data spanning 1987 to 2016. In contrast to the usual empirical approach, we take an agnostic stance on which bank characteristic drives the heterogenous lending response to interest...
Persistent link: https://www.econbiz.de/10012264674
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Factor augmented VAR revisited : a sparse dynamic factor model approach
Beyeler, Simon; Kaufmann, Sylvia - 2018
We combine the factor augmented VAR framework with recently developed estimation and identification procedures for sparse dynamic factor models. Working with a sparse hierarchical prior distribution allows us to discriminate between zero and non-zero factor loadings. The non-zero loadings...
Persistent link: https://www.econbiz.de/10012039045
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Bayesian estimation of sparse dynamic factor models with order-independent identification
Kaufmann, Sylvia; Schumacher, Christian - 2013
information extraction. Dimension reduction is usually achieved by extracting the common variation in the data into few factors (k … variables which do not add much information to the inference. The contribution includes a new way of identification which is …
Persistent link: https://www.econbiz.de/10010221685
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Offshoring along the production chain
Harms, Philipp; Lorz, Oliver; Urban, Dieter M. - 2009
Recent contributions on offshoring often assume that firms can freely split their production process into separate steps which can be ranked according to the cost savings from producing abroad. We replace this assumption by the notion of a technologically determined sequence of production steps....
Persistent link: https://www.econbiz.de/10003882306
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The demographics of expropriation risk
Harms, Philipp; Meulen, Philipp an de - 2009
It is often argued that capital should flow from aging industrialized economies to countries with fast-growing populations. However, institutional failures and the risk of expropriation substantially reduce developing economies' attractiveness for foreign investors. We analyze the influence of a...
Persistent link: https://www.econbiz.de/10003882307
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Incomplete information processing : a solution to the forward discount puzzle
Bacchetta, Philippe; Van Wincoop, Eric - 2005
managed, we investigate to what extent incomplete information processing can explain this puzzle. Two types of incompleteness … are considered: infrequent and partial information processing. We calibrate a two-country general equilibrium model to the … data and show that incomplete information processing can fully match the empirical evidence. It can also account for …
Persistent link: https://www.econbiz.de/10011397256