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Estimating large-scale factor models for economic activity in Germany: Do they outperform simpler models?
Dreger, Christian; Schumacher, Christian - 2002
This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate...
Persistent link: https://www.econbiz.de/10010295521
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Forecasting German GDP using alternative factor models based on large datasets
Schumacher, Christian - 2005
This paper discusses the forecasting performance of alternative factor models based on a large panel of quarterly time series for the german economy. One model extracts factors by static principals components analysis, the other is based on dynamic principal components obtained using frequency...
Persistent link: https://www.econbiz.de/10010295769
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Forecasting German GDP Using Alternative Factor Models Based on Large Datasets
Schumacher, Christian - 2008
This paper discusses the forecasting performance of alternative factor models based on a large panel of quarterly time series for the German economy. One model extracts factors by static principal components analysis; the second model is based on dynamic principal components obtained using...
Persistent link: https://www.econbiz.de/10012773410
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Forecasting German GDP Using Alternative Factor Models Based on Large Datasets
Schumacher, Christian - 2016
This paper discusses the forecasting performance of alternative factor models based on a large panel of quarterly time series for the german economy. One model extracts factors by static principals components analysis, the other is based on dynamic principal components obtained using frequency...
Persistent link: https://www.econbiz.de/10012991223
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Estimating Large-Scale Factor Models for Economic Activity In Germany : Do They Outperform Simpler Models?
Schumacher, Christian; Dreger, Christian - 2003
This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate...
Persistent link: https://www.econbiz.de/10014107530
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Estimating Large-Scale Factor Models for Economic Activity in Germany : Do They Outperform Simpler Models?
Schumacher, Christian; Dreger, Christian - 2008
This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate...
Persistent link: https://www.econbiz.de/10014064731
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The information content of monetary statistics for the Great Recession : evidence from Germany
Chen, Wenjuan; Nautz, Dieter - 2015
This paper introduces a Divisia monetary aggregate for Germany and explores its information content for the Great Recession. Divisia money and the corresponding simple sum aggregate are highly correlated in normal times but begin to diverge before the crisis. Out of sample forecast analysis and...
Persistent link: https://www.econbiz.de/10010529338
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News Entropy
Kuhlen, Nikolas; Preston, Andrew - 2021
increased stock price volatility at the firm level …
Persistent link: https://www.econbiz.de/10013234550
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Declining Output Volatility in Germany : Impulses, Propagation, and the Role of Monetary Policy
Fritsche, Ulrich; Kuzin, Vladimir N. - 2004
We analyse the decline in output volatility in Germany. A lower level of variance in an autoregressive model of output … error term variance (reduced impulses). In Germany the decline output volatility is due to a decline in the persistence of … sudden break. The evolution of Germany's short-term real interest rate volatility coincides with the change of the …
Persistent link: https://www.econbiz.de/10010274489
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Great moderation at the firm level? : unconditional versus conditional output volatility
Buch, Claudia M. (contributor); Döpke, Jörg (contributor);  … - 2008
Moderationʺ can be found in firm level data as well remains disputed. We study the evolution of firm level output volatility using … trends in unconditional firm level and aggregated output volatility in Germany are similar. There has been a long …-run downward trend, which was interrupted by the unification period. Second, the conditional, idiosyncratic firm level volatility …
Persistent link: https://www.econbiz.de/10003729690