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A dynamic yield curve model with stochastic volatility and non-Gaussian interactions : an empirical study of non-standard monetary policy in the euro area
Mesters, Geert; Schwaab, Bernd; Koopman, Siem Jan - 2014
We develop an econometric methodology for the study of the yield curve and its interactions with measures of non-standard monetary policy during possibly turbulent times. The yield curve is modeled by the dynamic Nelson-Siegel model while the monetary policy measurements are modeled as...
Persistent link: https://www.econbiz.de/10010362975
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Tracking growth and the business cycle : a stochastic common cycle model for the euro area
Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003
Persistent link: https://www.econbiz.de/10001792789
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A multilevel factor model for economic activity with observation-driven dynamic factors
Artemova, Mariia; Blasques, Francisco; Koopman, Siem Jan - 2023
We analyze the role of industrial and non-industrial production sectors in the US economy by adopting a novel …, we corroborate some of the key findings about the role of industrial production in the US economy, quantify the …
Persistent link: https://www.econbiz.de/10014249846
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Does trade integration imply growth in Latin America? : evidence from a dynamic spatial spillover model
Blasques, F.; Gorgi, P.; Koopman, Siem Jan; Sampi, J. - 2023
-country and multi-sectoral economy. The reduced-form econometric framework relies partly on observation-driven dynamic processes …
Persistent link: https://www.econbiz.de/10014233425