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The effects of news about future productivity on international relative prices: an empirical investigation

Nam, Deokwoo; Wang, Jian - Federal Reserve Bank of Dallas - 2010

In this paper, we find that expected (news) and unexpected (contemporaneous) components of productivity changes have … factor productivity (TFP) into news and contemporaneous productivity changes. The US real exchange rate appreciates following … international transmission of productivity shocks and the modeling of exchange rate volatility. …

Persistent link: https://www.econbiz.de/10008739773

Finite sample performance of small versus large scale dynamic factor models

Alvarez, Rocio; Camacho, Maximo; Perez-Quiros, Gabriel - Banco de España - 2012

We examine the finite-sample performance of small versus large scale dynamic factor models. Our Monte Carlo analysis reveals that small scale factor models out-perform large scale models in factor estimation and forecasting for high levels of cross-correlation across the idiosyncratic errors of...

Persistent link: https://www.econbiz.de/10010862254

Meeting our D€STINY. A Disaggregated €uro area Short Term INdicator model to forecast GDP (Y) growth

Burriel, Pablo; García-Belmonte, María Isabel - Banco de España - 2013

In this paper we propose a new real-time forecasting model for euro area GDP growth, D€STINY, which attempts to bridge the existing gap in the literature between large- and small-scale dynamic factor models. By adopting a disaggregated modelling approach, D€STINY uses most of the information...

Persistent link: https://www.econbiz.de/10010862260

The failure to predict the Great Recession. The failure of academic economics? A view focusing on the role of credit

Rivas, Maria Dolores Gadea; Perez-Quiros, Gabriel - Banco de España - 2012

Much has been written about why economists failed to predict the latest financial and real crisis. Reading the recent literature, it seems that the crisis was so obvious that economists must have been blind when looking at data not to see it coming. In this paper, we analyze whether such claims...

Persistent link: https://www.econbiz.de/10010862273

Extracting non-linear signals from several economic indicators

Camacho, Maximo; Perez-Quiros, Gabriel; Poncela, Pilar - Banco de España - 2012

We develop a twofold analysis of how the information provided by several economic indicators can be used in Markov-switching dynamic factor models to identify the business cycle turning points. First, we compare the performance of a fully non-linear multivariate specification (one-step approach)...

Persistent link: https://www.econbiz.de/10010862279

Real-time forecasting us GDP from small-scale factor models

Camacho, Máximo; Martínez-Martín, Jaime - Banco de España - 2014

We show that the single-index dynamic factor model developed by Aruoba and Diebold (Am Econ Rev, 100:20-24, 2010) to construct an index of US business cycle conditions is also very useful for forecasting US GDP growth in real time. In addition, we adapt the model to include survey data and...

Persistent link: https://www.econbiz.de/10010936748

Monitoring the world business cycle

Camacho, Maximo; Martinez-Martin, Jaime - Banco de España - 2015

We propose a Markov-switching dynamic factor model to construct an index of global business cycle conditions, for performing short-term forecasts of quarterly world GDP growth in real time and computing real-time business cycle probabilities. To overcome the real-time forecasting challenges, the...

Persistent link: https://www.econbiz.de/10011212880

Vertical specialization and international business cycle synchronization

Arkolakis, Costas; Ramanarayanan, Ananth - Federal Reserve Bank of Dallas - 2008

countries. We show analytically that fluctuations in measured productivity in our model are not linked across countries through …

Persistent link: https://www.econbiz.de/10005367956

Introducing the EURO-STING: Short Term INdicator of Euro Area Growth

Camacho, Maximo; Perez-Quiros, Gabriel - Banco de España - 2008

We propose a model to compute short-term forecasts of the Euro area GDP growth in real-time. To allow for forecast evaluation, we construct a real-time data set that changes for each vintage date and includes the exact information that was available at the time of each forecast. In this context,...

Persistent link: https://www.econbiz.de/10005022256

Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter

Maravall, Agustín; Río, Ana del - Banco de España - 2007

Maravall and del Río (2001), analized the time aggregation properties of the Hodrick-Prescott (HP) filter, which decomposes a time series into trend and cycle, for the case of annual, quarterly, and monthly data, and showed that aggregation of the disaggregate component cannot be obtained as...

Persistent link: https://www.econbiz.de/10005022260

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