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Dynamic Common Factors in Large Cross-Sections
Forni, Mario; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1995
This paper develops a method to analyse large cross-sections with non-trivial time dimensions. The method: (i) identifies the number of common shocks in a factor analytic model; (ii) estimates the unobserved common dynamic component; (iii) shows how to test for fundamentality of the common...
Persistent link: https://www.econbiz.de/10005067411
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Factor Models in Large Cross-Sections of Time Series
Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2002
This Paper reviews recent econometric work on factor models in large cross-sections of time series. In this literature, traditional factor analysis is adapted to develop parsimonious estimation methods for high dimension time series models. The review covers problems of consistency and rates –...
Persistent link: https://www.econbiz.de/10005498094
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Common Macro Factors and Currency Premia
Filippou, Ilias; Taylor, Mark P - C.E.P.R. Discussion Papers - 2014
value to a risk-averse investor with mean-variance preferences. …
Persistent link: https://www.econbiz.de/10011084700
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Factor Analysis in a New-Keynesian Model
Beyer, Andreas; Farmer, Roger E A; Henry, Jérôme; … - C.E.P.R. Discussion Papers - 2005
New-Keynesian models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation methods have several drawbacks, including possible lack of...
Persistent link: https://www.econbiz.de/10005662376
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Let's Get Real: A Dynamic Factor Analytical Approach to Disaggregated Business Cycle
Forni, Mario; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 1995
This paper analyses output and productivity for 450 US industries from 1958 to 1986. We make the following contributions. (i) We develop a method based on dynamic principal components to identify the number of common shocks to our data set. (ii) We propose a simple method for the estimation of...
Persistent link: https://www.econbiz.de/10005661648
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Political Uncertainty and Risk Premia
Pástor, Luboš; Veronesi, Pietro - C.E.P.R. Discussion Papers - 2011
political uncertainty commands a risk premium whose magnitude is larger in poorer economic conditions. Political uncertainty …
Persistent link: https://www.econbiz.de/10009320399
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Risk Premia In The Term Structure Of Interest Rates: A Panel Data Approach
Bams, Dennis; Wolff, Christian C - C.E.P.R. Discussion Papers - 2000
This paper proposes a panel data approach to modeling the risk premium in the term structure of interest rates … allows us to disentangle risk premia and unexpected excess returns, which is not possible in the standard time series … full data panel of U.S. Treasury securities. Second, a considerable degree of mean reversion is present in the risk premia …
Persistent link: https://www.econbiz.de/10005123603
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Should Argentina Adopt The US Dollar?
Hughes Hallett, Andrew; Myrvin, Anthony - C.E.P.R. Discussion Papers - 2000
creates risk premia against the possibility that the exchange rate parity cannot be maintained, and against the possibility … currency issue. We find the growth and investment benefits of removing the risk premia outweigh any optimal currency area …
Persistent link: https://www.econbiz.de/10005123613
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Inflation Targeting and Debt: Lessons from Brazil
Favero, Carlo A.; Giavazzi, Francesco - C.E.P.R. Discussion Papers - 2004
: we estimate risk premia on various financial instruments and on the exchange rate, and we show that they all move in …
Persistent link: https://www.econbiz.de/10005123784
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Moral Hazard and the US Stock Market: The Idea of a 'Greenspan Put'
Miller, Marcus; Weller, Paul; Zhang, Lei - C.E.P.R. Discussion Papers - 2001
The risk premium in the US stock market has fallen far below its historic level, which Shiller (2000) attributes to a … bubble driven by psychological factors. As an alternative explanation, we point out that the observed risk premium may be … that they are insured against downside risk. By allowing for partial credibility and state dependent risk aversion, we show …
Persistent link: https://www.econbiz.de/10005067591