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What drives inflation? Disentangling demand and supply factors

Eickmeier, Sandra; Hofmann, Boris - 2022

We estimate indicators of aggregate demand and supply conditions based on a structural factor model using a large number of inflation and real activity measures for the United States. We identify demand and supply factors by imposing theoretically motivated sign restrictions on factor loadings....

Persistent link: https://www.econbiz.de/10013465053

Understanding global liquidity

Eickmeier, Sandra; Gambacorta, Leonardo; Hofmann, Boris - 2013

We explore the concept of global liquidity based on a factor model estimated using a large set of financial and macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common global factors in the dynamics of liquidity...

Persistent link: https://www.econbiz.de/10010311766

China's role in global inflation dynamics

Eickmeier, Sandra; Kühnlenz, Markus - 2013

We apply a structural dynamic factor model to a large quarterly dataset covering 38 countries between 2002 and 2011 to analyze China's role in global inflation dynamics. We identify Chinese supply and demand shocks and examine their contributions to global price dynamics and the transmission...

Persistent link: https://www.econbiz.de/10010311863

Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR

Eickmeier, Sandra - 2009

Die vorliegende Arbeit untersucht, wie sich Angebots-, Nachfrage- und geldpolitische Schocks aus den Vereinigten Staaten auf Deutschland übertragen. Dabei wird ein so genanntes Factor-Augmented Vector Autoregressive Model (FAVAR) auf einen neu zusammengestellten Datensatz mit mehr als 200...

Persistent link: https://www.econbiz.de/10010313065

Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model

Eickmeier, Sandra - 2006

This paper seeks to assess comovements and heterogeneity in the euro area by fitting a nonstationary dynamic factor model (Bai and Ng, 2004), augmented with a structural factor setup (Forni and Reichlin, 1998), to a large set of euro-area macroeconomic variables observed between 1982 and 2003....

Persistent link: https://www.econbiz.de/10010295820

How good are dynamic factor models at forecasting output and inflation? A meta-analytic approach

Ziegler, Christina; Eickmeier, Sandra - 2006

This paper surveys existing factor forecast applications for real economic activity and inflation by means of a meta-analysis and contributes to the current debate on the determinants of the forecast performance of large-scale dynamic factor models relative to other models. We find that, on...

Persistent link: https://www.econbiz.de/10010295831

Testing for structural breaks in dynamic factor models

Breitung, Jörg; Eickmeier, Sandra - 2009

From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks....

Persistent link: https://www.econbiz.de/10010298752

Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR

Eickmeier, Sandra - 2009

Die vorliegende Arbeit untersucht, wie sich Angebots-, Nachfrage- und geldpolitische Schocks aus den Vereinigten Staaten auf Deutschland übertragen. Dabei wird ein so genanntes factor-augmented vector autoregressive model (FAVAR) auf einen neu zusammengestellten Datensatz mit mehr als 200...

Persistent link: https://www.econbiz.de/10010299849

Monetary policy, housing booms and financial (im)balances

Eickmeier, Sandra; Hofmann, Boris - 2010

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/10010300360

Classical time-varying FAVAR models - estimation, forecasting and structural analysis

Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - 2011

We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of...

Persistent link: https://www.econbiz.de/10010304433