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Global macro-financial cycles and spillovers
Ha, Jongrim; Kose, M. Ayhan; Otrok, Christopher M.; … - 2020
We develop a new dynamic factor model that allows us to jointly characterize global macroeconomic and financial cycles and the spillovers between them. The model decomposes macroeconomic cycles into the part driven by global and country-specific macro factors and the part driven by spillovers...
Persistent link: https://www.econbiz.de/10012388932
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Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices
Casoli, Chiara; Lucchetti, Riccardo - 2021
In this article, we propose a cointegration-based Permanent-Transitory decomposition for non-stationary Dynamic Factor Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a common and an idiosyncratic component. The common...
Persistent link: https://www.econbiz.de/10012605977
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Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy
Miescu, Mirela S.; Mumtaz, Haroon - 2019
We show that the contemporaneous and longer horizon impulse responses estimated using small-scale Proxy structural vector autoregressions (SVARs) can be severely biased in the presence of information insufficiency. Instead, we recommend the use of a Proxy Factor Augmented VAR (FAVAR) model that...
Persistent link: https://www.econbiz.de/10012144239
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The Chicago Fed DSGE Model
Brave, Scott A.; Campbell, Jeffrey R.; Fisher, Jonas D. M. - 2012
The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …
Persistent link: https://www.econbiz.de/10010292149
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Bayesian semiparametric multivariate GARCH modeling
Jensen, Mark J.; Maheu, John M. - 2012
This paper proposes a Bayesian nonparametric modeling approach for the return distribution in multivariate GARCH models. In contrast to the parametric literature, the return distribution can display general forms of asymmetry and thick tails. An infinite mixture of multivariate normals is given...
Persistent link: https://www.econbiz.de/10010292242
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Decomposing changes in the aggregate labor force participation rate
Hotchkiss, Julie L. - 2009
This paper presents a simple methodology for decomposing changes in the aggregate labor force participation rate (LFPR) over time into demographic group changes in labor force participation behavior and in population share. The purpose is to identify the relative importance of behavioral changes...
Persistent link: https://www.econbiz.de/10010292316
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Simulation-based valuation of project finance: does model complexity really matter?
Weber, Florian; Schmid, Thomas; Pietz, Matthäus; … - 2010
forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …
Persistent link: https://www.econbiz.de/10010305715
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Analysing and forecasting price dynamics across euro area countries and sectors: A panel VAR approach
Dées, Stéphane; Güntner, Jochen - 2014
This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different …
Persistent link: https://www.econbiz.de/10011310799
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Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep; Swanson, Norman R. - 2013
forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …
Persistent link: https://www.econbiz.de/10010334248
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A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance
Corradi, Valentina; Swanson, Norman - 2013
In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published in the econometrics discipline. Key contributions to this literature include the paper by Diebold and Mariano (DM: 1995) that sets the groundwork for much of the subsequent work...
Persistent link: https://www.econbiz.de/10010334261