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Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - Tinbergen Instituut - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10011256800

Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components

Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - Tinbergen Instituut - 2014

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

Persistent link: https://www.econbiz.de/10011257503

Efficiency Gains of a European Banking Union

Schoenmaker, Dirk; Siegmann, Arjen - Tinbergen Instituut - 2013

An anticipated benefit of the prospective European Banking Union is stronger supervision of European banks. Another benefit would be enhanced resolution of banks in distress. While national governments confine themselves to the domestic effects of a banking failure, a European Resolution...

Persistent link: https://www.econbiz.de/10011255493

Bayesian Forecasting of US Growth using Basic Time Varying Parameter Models and Expectations Data

Basturk, Nalan; Ceyhan, Pinar; Dijk, Herman K. van - Tinbergen Instituut - 2014

forecasting performance of the various model specifications. The extension of a basic growth model with a constant mean to models … expectations is important for forecasting growth in specific periods, such as the the recession periods around 2000s and around …

Persistent link: https://www.econbiz.de/10011257064

Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models

Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre; … - Tinbergen Instituut - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10011257308

Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis

Brauning, Falk; Koopman, Siem Jan - Tinbergen Instituut - 2012

This discussion paper resulted in an article in the <I>International Journal of Forecasting</I> (2014). Volume 30 …, pages 572-584.<P> We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state … nowcasting and forecasting purposes. Given a dynamic factor model as the data generation process, we provide Monte Carlo evidence …

Persistent link: https://www.econbiz.de/10011257430

Solution-Driven Specification of DSGE Models

Blasques, Francisco - Tinbergen Instituut - 2013

This paper proposes a functional specification approach for dynamic stochastic general equilibrium (DSGE) models that explores the properties of the solution method used to approximate policy functions. In particular, the solution-driven specification takes the properties of the solution method...

Persistent link: https://www.econbiz.de/10011257462

Asset Market Linkages in Crisis Periods

Hartmann, P.; Straetmans, S.; Vries, C.G. de - Tinbergen Instituut - 2001

We characterize asset return linkages during periods of stress by an extremal dependence measure. Contrary to correlation analysis, this nonparametric measure is not predisposed toward the normal distribution and can allow for nonlinear relationships. Our estimates for the G-5 countries suggest...

Persistent link: https://www.econbiz.de/10011255868

Investor Sentiment and Employment

Montone, Maurizio; Zwinkels, Remco C.J. - Tinbergen Instituut - 2015

We find that investor sentiment should affect a firm's employment policy in a world with moral hazard and noise traders. Consistent with the model's predictions, we show that higher sentiment among US investors leads to: (1) higher employment growth worldwide; (2) lower labor productivity, as the...

Persistent link: https://www.econbiz.de/10011255878

Recessions after Systemic Banking Crises: Does it matter how Governments intervene?

Wijnbergen, Sweder van; Homar, Timotej - Tinbergen Instituut - 2013

Systemic banking crises often continue into recessions with large output losses (Reinhart & Rogoff 2009a). In this paper we ask whether the way Governments intervene in the financial sector has an impact on the economy's subsequent performance. Our theoretical analysis focuses on bank incentives...

Persistent link: https://www.econbiz.de/10011256408