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Weak and strong cross section dependence and estimation of large panels
Chudik, Alexander; Pesaran, M. Hashem; Tosetti, Elisa - 2009
an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …
Persistent link: https://www.econbiz.de/10003963781
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Large Bayesian VARs
Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - 2008
This paper shows that Vector Autoregression with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results by De Mol, Giannone, and Reichlin (2008) and show that, when the degree of shrinkage is set in relation to the cross-sectional dimension, the forecasting...
Persistent link: https://www.econbiz.de/10003825832
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Infinite-dimensional VARs and factor models
Chudik, Alexander; Pesaran, M. Hashem - 2009
This paper introduces a novel approach for dealing with the "curse of dimensionality" in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...
Persistent link: https://www.econbiz.de/10003831142
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Weak and strong cross section dependence and estimation of large panels
Chudik, Alexander; Pesaran, Hashem; Tosetti, Elisa - 2009
an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …
Persistent link: https://www.econbiz.de/10009640487
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Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, M. Hashem; Chudik, Alexander - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10003973331
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A panel VAR analysis of macro-financial imbalances in the EU
Comunale, Mariarosaria - 2017
financial (or output) gaps within EU countries. We apply panel techniques, including a Bayesian panel VAR, to 27 EU members over …
Persistent link: https://www.econbiz.de/10011637376
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Measuring systemic financial stress and its risks for growth
Chavleishvili, Sulkhan; Kremer, Manfred - 2023
This paper proposes a general statistical framework for systemic financial stress indices which measure the severity of financial crises on a continuous scale. Several index designs from the financial stress and systemic risk literature can be represented as special cases. We introduce an...
Persistent link: https://www.econbiz.de/10014362652
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What drives returns to euro area housing? : evidence from a dynamic dividend-discount model
Hiebert, Paul; Sydow, Matthias - 2009
We apply a dynamic dividend-discount model to analyse unexpected housing returns in a panel of eight euro area … involves the estimation of a panel vector autoregressive model (VAR) for four variables excess return to housing, rents, the … investigation yields two main findings. First, the bulk of the variability of house price movements in the panel of countries …
Persistent link: https://www.econbiz.de/10003831848
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Modelling global trade flows : results from a GVAR model
Bussière, Matthieu; Chudik, Alexander; Sestieri, Giulia - 2009
This paper uses a Global Vector Auto-Regression (GVAR) model in a panel of 21 emerging market and advanced economies to …
Persistent link: https://www.econbiz.de/10003963758
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The risk management approach to macro-prudential policy
Chavleishvili, Sulkhan; Engle, Robert F.; Fahr, Stephan; … - 2021
Macro-prudential authorities need to assess medium-term downside risks to the real economy, caused by severe financial shocks. Before activating policy measures, they also need to consider their short-term negative impact. This gives rise to a risk management problem, an inter-temporal trade-off...
Persistent link: https://www.econbiz.de/10012547546