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Dynamic Factor Models with Macro, Frailty and Industry Effects for US Default Counts : The Credit Crisis of 2008
Koopman, Siem Jan - 2012
systematic default risk conditions into a set of latent components that correspond with macroeconomic/financial, default … turbulence. For example, we detect a build-up of systematic risk over the period preceding the 2008 credit crisis …
Persistent link: https://www.econbiz.de/10013102101
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Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
Creal, Drew - 2014
new mixed-measurement framework for the signal extraction and forecasting of macro, credit, and loss given default risk … predictive (conditional) loss densities for portfolios of corporate bonds in the presence of different sources of credit risk … such as frailty effects and systematic recovery risk …
Persistent link: https://www.econbiz.de/10013061738
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Estimation and Forecasting in Large Datasets with Conditionally Heteroskedastic Dynamic Common factors
Alessi, Lucia - 2009
We propose a new method for multivariate forecasting which combines Dynamic Factor and multivariate GARCH models. The information contained in large datasets is captured by few dynamic common factors, which we assume being conditionally heteroskedastic. After presenting the model, we propose a...
Persistent link: https://www.econbiz.de/10013154951
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Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections
Banbura, Marta - 2014
This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...
Persistent link: https://www.econbiz.de/10013047977
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Are More Data Always Better for Factor Analysis' Results for the Euro Area, the Six Largest Euro Area Countries and the UK
Caggiano, Giovanni; Kapetanios, George; Labhard, Vincent - 2021
Factor based forecasting has been at the forefront of developments in the macro-econometric forecasting literature in the recent past. Despite the flurry of activity in the area, a number of specification issues such as the choice of the number of factors in the forecasting regression, the...
Persistent link: https://www.econbiz.de/10013316380
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Comparing Alternative Predictors Based on Large-Panel Factor Models
D'Agostino, Antonello; Giannone, Domenico - 2021
This paper compares the predictive ability of the factor models of Stock and Watson (2002) and Forni, Hallin, Lippi, and Reichlin (2005) using a large panel of US macroeconomic variables. We propose a nesting procedure of comparison that clarifies and partially overturns the results of similar...
Persistent link: https://www.econbiz.de/10013317450
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Short-term Forecasting of the Japanese Economy Using Factor Models
Godbout, Claudia - 2012
While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor models over different samples, including the...
Persistent link: https://www.econbiz.de/10013109311
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The Janus-Headed Salvation : Sovereign and Bank Credit Risk Premia during 2008-09
Ejsing, Jacob - 2012
tight and stable in the weeks preceding the intensification of the crisis. Firstly, the packages induced a decrease in risk … spreads for banks at the expense of a marked increase in risk spreads for governments. Secondly, we show that in addition to … this one-off jump in the levels of CDS spreads, the packages strongly increased the sensitivity of sovereign risk spreads …
Persistent link: https://www.econbiz.de/10013116569
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Liquidity and Credit Risk Premia in Government Bond Yields
Ejsing, Jacob - 2012
-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …
Persistent link: https://www.econbiz.de/10013106056
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Monetary Policy, Housing Booms and Financial (Im) Balances
Eickmeier, Sandra - 2015
monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to … house price inflation, strong private debt growth and low credit risk spreads. The results suggest that (i) monetary policy … a strong short-lived effect on risk spreads in the money and mortgage markets; (ii) monetary policy shocks have …
Persistent link: https://www.econbiz.de/10013038915