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Fast ML Estimation of Dynamic Bifactor Models : An Application to European Inflation
Fiorentini, Gabriele - 2015
We generalise the spectral EM algorithm for dynamic factor models in Fiorentini, Galesi and Sentana (2014) to bifactor models with pervasive global factors complemented by regional ones. We exploit the sparsity of the loading matrices so that researchers can estimate those models by maximum...
Persistent link: https://www.econbiz.de/10013014990
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The impact of credit supply shocks and a new FCI based on a FAVAR approach
Hosszú, Zsuzsanna - 2016
-residents influences GDP through the decrease in country risk and the easing of monetary policy, while willingness to lend primarily … banking system plays an increasing role in country risk, while after 2008 it appears that monetary policy paid increasing …
Persistent link: https://www.econbiz.de/10011457124
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Risky assets in Europe and the US : risk vulnerability, risk aversion and economic environment
Bekhtiar, Karim; Fessler, Pirmin; Lindner, Peter - 2019
We use cross-country microdata to analyse the risk taking of households in Europe and the US. Concerning the extensive … inside Europe we document substantial differences. Furthermore, average risk aversion is strongly correlated with the share … explainable by household characteristics as well as differences in risk aversion and a remainder. We employ the unexplained part …
Persistent link: https://www.econbiz.de/10011997521
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Flight-to-Safety and the Risk-Return Trade-Off : European Evidence
Aslanidis, Nektarios - 2019
identify flight-to-safety episodes. The conditional risk-return trade-off on the stock markets is negative. Flight …
Persistent link: https://www.econbiz.de/10012900712
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Implied equity duration as a measure of risk and its simultaneous endogeneity with performance in European companies
Reis, Pedro - In: International journal of economics and business … 19 (2020) 3, pp. 313-333
Persistent link: https://www.econbiz.de/10012205624
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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data
Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015
The main goal of the article is to investigate forecasting quality of two approaches to modelling main macroeconomic variables without a priori assumptions concerning causality and generate forecasts without additional assumptions regarding regressors. With application of tendency survey data...
Persistent link: https://www.econbiz.de/10010512536
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Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data
Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015
The article compares forecast quality from two atheoretical models. Neither method assumed a priori causality and forecasts were generated without additional assumptions about regressors. Tendency survey data was used within the Bayesian averaging of classical estimates (BACE) framework and...
Persistent link: https://www.econbiz.de/10011349021
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House Price Synchronization and Financial Openness : A Dynamic Factor Model Approach
Katagiri, Mitsuru - 2018
This paper investigates the developments in house price synchronization across countries bya dynamic factor model using a country- and city-level dataset, and examines what drives thesynchronization. The empirical results indicate that: (i) the degree of synchronization hasbeen rising since the...
Persistent link: https://www.econbiz.de/10012909411
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Risk Aversion, Life Insurance Holding, And Risky Asset Investment : Theory and Evidence from European Countries
Chu, Hsun; Li, Chu-Shiu; Peng, Sheng-Chang; Tsendsuren, … - 2023
This paper investigates the effects of risk aversion on portfolio choices in terms of life insurance purchase and risky … asset investment. The theoretical results show that households with very low degree of risk aversion allocate all of their … investments to risky assets and have little desire to buy life insurance and risk-free bonds. When the degree of risk aversion …
Persistent link: https://www.econbiz.de/10014350703
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Integration Among US Banks
Anand, Abhinav - 2020
We define and construct 'integration' for a large sample of 2287 US banks-measured by their level of exposure to common factors-during the period 1993-2019. Integration among US banks shows a steady increase and displays significantly high peaks during episodes of market distress such as the...
Persistent link: https://www.econbiz.de/10012847580