Similar Search Results

Breitung, Jörg; Eickmeier, Sandra - Deutsche Bundesbank - 2005

Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an...

Persistent link: https://www.econbiz.de/10005083092

Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?

De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - Deutsche Bundesbank - 2006

This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range...

Persistent link: https://www.econbiz.de/10005083173

Real currency appreciation in accession countries: Balassa-Samuelson and investment demand

Fischer, Christoph - Deutsche Bundesbank - 2002

apparently in favour of Balassa-Samuelson effects may require a re-interpretation. The model is estimated for a panel of CEE … scheinen, müssen deshalb möglicherweise neu interpretiert werden. Das Modell wird für ein Panel von mittel- und osteuropäischen …

Persistent link: https://www.econbiz.de/10005083090

Towards an explanation of cross-country asymmetries in monetary transmission

Georgiadis, Georgios - Deutsche Bundesbank - 2012

from country-specific vectorautoregressive (VAR) models and a non-standard panel VAR model match. In the country …-specific VAR models, the impulse responses vary across countries in an unrestricted fashion. In the panel VAR model, the impulse …

Persistent link: https://www.econbiz.de/10010957093

Efficient, profitable and safe banking: an oxymoron? Evidence from a panel VAR approach

Koetter, Michael; Porath, Daniel - Deutsche Bundesbank - 2007

analyze the dynamic relations between efficiency and performance in the German banking market. To this end we use panel data …

Persistent link: https://www.econbiz.de/10005082751

Dynamic Q-investment functions for Germany using panel balance sheet data and a new algorithm for the capital stock at replacement values

Bellgardt, Egon; Behr, Andreas - Deutsche Bundesbank - 2002

statistics. The panel data set contains some 2,300 German firms' balance sheet data covering the years 1988-1998. While the Q … panel data by Gilchrist and Himmelberg (1995, 1998) enables the Q-theory to be applied to non-quoted firms which are by far …

Persistent link: https://www.econbiz.de/10005083058

PPP: a Disaggregated View

Fischer, Christoph - Deutsche Bundesbank - 2004

a single good and a weighted sum of relative prices between goods. When applying a battery of panel unit root tests to … PPP is invalid even if the LOP holds for all goods. The findings contrast with the result from panel unit root tests that …

Persistent link: https://www.econbiz.de/10005083081

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - Deutsche Bundesbank - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

Persistent link: https://www.econbiz.de/10005083101

Spill-over effects of monetary policy: a progress report on interest rate convergence in Europe

Fladung, Michael - Deutsche Bundesbank - 2007

end, PANIC, a Panel Analysis of Non-stationarity in I diosyncratic and Common components, is employed in a structural …

Persistent link: https://www.econbiz.de/10005083102

A reappraisal of the evidence on PPP: a systematic investigation into MA roots in panel unit root tests and their implications

Fischer, Christoph; Porath, Daniel - Deutsche Bundesbank - 2006

Panel unit root tests of real exchange rates – as opposed to univariate tests – usually reject non-stationarity. These … correlation matrix affect the size of first and second generation panel unit root tests. Two components of the real exchange rate …, the real exchange rate of a single good and a weighted sum of relative prices, are constructed from the data for a panel …

Persistent link: https://www.econbiz.de/10005083113