Showing 1 - 7 of 7
Common shocks, similarities in central bank reaction functions, and international trade potentially produce common components in international inflation rates. This paper characterizes such links in international inflation rates with a dynamic latent factor model that decomposes inflation for 65...
Persistent link: https://www.econbiz.de/10005360641
This paper analyzes the ability of both economic variables and moving-average rules to forecast the monthly U.S. equity premium using out-of-sample tests for 1960?2008. Both approaches provide statistically and economically significant out-of-sample forecasting gains, which are concentrated in...
Persistent link: https://www.econbiz.de/10008489205
We model the U.S. business cycle using a dynamic factor model that identifies common factors underlying fluctuations in state-level income and employment growth. We find three such common factors, each of which is associated with a set of factor loadings that indicate the extent to which each...
Persistent link: https://www.econbiz.de/10005490932
The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. We selectively survey the empirical literature that examines the...
Persistent link: https://www.econbiz.de/10005491015
We analyze comovements in four measures of budget surpluses for 18 OECD countries for 1980-2008 with a dynamic latent factor model. The world factor in national budget surpluses declines substantially in the 1980s, rises throughout much of the 1990s to a peak in 2000, before declining again in...
Persistent link: https://www.econbiz.de/10008583245
We construct monthly economic-activity indices for 51 U.S. metropolitan statistical areas for 1990 to 2014. Each index is computed via a dynamic factor model that includes 14 variables measuring various aspects of economic activity in a metro area. We estimate the dynamic factor model using the...
Persistent link: https://www.econbiz.de/10011027333
It is a robust finding that technical trading rules applied to foreign exchange markets have earned substantial excess returns over long periods of time. However, the approach to risk adjustment has typically been rather cursory, and has tended to focus on the CAPM. We examine the returns to a...
Persistent link: https://www.econbiz.de/10011027337