Narrow search
Showing 1 - 10 of 1,078
Cover Image
Analyzing business and financial cycles using multi-level factor models
Breitung, Jörg; Eickmeier, Sandra - 2014
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero …
Persistent link: https://www.econbiz.de/10010373684
Cover Image
Globalization and international business cycle dynamics : a conditional GVAR approach
Binder, Michael; Offermanns, Christian J. - 2014
We examine the effects of increased international integration of both goods and financial markets on business cycle dynamics. To do so, we develop a new econometric framework for modelling cross-country spillovers in which the magnitude of these spillovers is an empirically determined function...
Persistent link: https://www.econbiz.de/10010414228
Cover Image
Nowcasting GDP with a large factor model space
Eraslan, Sercan; Schröder, Maximilian - 2019
-time data flow as well as parameter uncertainty and time-varying volatility. In addition, we develop a fast estimation algorithm …
Persistent link: https://www.econbiz.de/10012119825
Cover Image
The effects of US monetary policy shocks : applying external instrument identification to a dynamic factor model
Kerssenfischer, Mark - 2017
Dynamic factor models and external instrument identification are two recent advances in the empirical macroeconomic literature. This paper combines the two approaches in order to study the effects of monetary policy shocks. I use this novel framework to re-examine the effects found by Forni and...
Persistent link: https://www.econbiz.de/10011636064
Cover Image
International spillovers and feedback : modelling in a disequilibrium framework
Winker, Peter - 2000
modelling approach and estimation results for the trade submodels are presented in some detail and simmulation results for the …
Persistent link: https://www.econbiz.de/10013428333
Cover Image
Did output gap measurement improve over time?
Chiu, Adrian; Wieladek, Tomasz - 2012
We study whether the accuracy of real-time estimates of the output gap produced by the OECD has improved over time by examining a panel dataset on real-time output gap revisions for 15 countries from 1991 Q1 - 2005 Q4. We use a simple panel data regression and a state space model, with common...
Persistent link: https://www.econbiz.de/10009559228
Cover Image
Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future … productivity. Thus, market-wide changes in return correlation contain information about changes in future technological …
Persistent link: https://www.econbiz.de/10014227600
Cover Image
Finding relevant variables in sparse Bayesian factor models : economic applications and simulation results
Kaufmann, Sylvia; Schumacher, Christian - 2012
This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly … estimation with sparse priors on the loadings matrix. The choice of a sparse prior is an extension to the existing macroeconomic … majority of the variables in both datasets are irrelevant for factor estimation. -- Factor models ; variable selection ; sparse …
Persistent link: https://www.econbiz.de/10009674269
Cover Image
The synchronization of European credit cycles
Meller, Barbara; Metiu, Norbert - 2015
We study the synchronization of credit booms and busts among 12 major European economies and the United States between 1972-2011. We propose a regression-based procedure to test whether boom-bust phases of credit cycles coincide across countries and to cluster countries with positively...
Persistent link: https://www.econbiz.de/10011299045
Cover Image
Disaggregating the international business cycle
Gilhooly, Robert; Weale, Martin; Wieladek, Tomasz - 2012
This paper investigates the international business cycle with new sector level data on hours and output for Canada, Germany, France, Italy, the United Kingdom and the United States from 1992 Q1 to 2011 Q3. We estimate a Bayesian dynamic common factor model on this disaggregate data to decompose...
Persistent link: https://www.econbiz.de/10009580709