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Dissecting the financial cycle with dynamic factor models
Menden, Christian; Proaño Acosta, Christian - 2017
The analysis of the financial cycle and its interaction with the macroeconomy has become a central issue for the design of macroprudential policy since the 2007-08 financial crisis. This paper proposes the construction of financial cycle measures for the US based on a large data set of...
Persistent link: https://www.econbiz.de/10011663432
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Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model
Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020
need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility … Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First …, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility …
Persistent link: https://www.econbiz.de/10012227436
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Dissecting the financial cycle with dynamic factor models
Menden, Christian; Proaño Acosta, Christian - 2017
Finanzzyklusmaßgrößen für die USA vor. Diese basieren auf einem großen Datensatz makroökonomischer und finanzieller Variablen. Im Detail …
Persistent link: https://www.econbiz.de/10011710012
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A generalised dynamic factor model for the Belgian economy : useful business cycle indicators and GDP growth forecasts
Van Nieuwenhuyze, Christophe - 2006
This paper aims to extract the common variation in a data set of 509 conjunctural series as an indication of the Belgian business cycle. The data set contains information on business and consumer surveys of Belgium and its neighbouring countries, macroeconomic variables and some worldwide...
Persistent link: https://www.econbiz.de/10003343540
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A Generalised Dynamic Factor Model for the Belgian Economy - Useful Business Cycle Indicators and GDP Growth Forecasts
Nieuwenhuyze, Christophe Van - 2010
This paper aims to extract the common variation in a data set of 509 conjunctural series as an indication of the Belgian business cycle. The data set contains information on business and consumer surveys of Belgium and its neighbouring countries, macroeconomic variables and some worldwide...
Persistent link: https://www.econbiz.de/10013137225
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Measuring foreign impact : leading index construction using hierarchical dynamic factor model
Reklaite, Agne - In: Baltic journal of economics 16 (2016) 1, pp. 21-32
In this paper a new method of constructing the leading economic index is presented. Its main advantage is the ability to distinguish domestic and foreign factors influencing the growth of economy and it is performed via dynamic hierarchical factor modelling. An application is carried out with...
Persistent link: https://www.econbiz.de/10011890861
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ROC and PRC Approaches to Evaluate Recession Forecasts
Lahiri, Kajal; Yang, Cheng - 2023
We have studied the relationship between Receiver Operating Characteristics (ROC) and Precision Recall Curve (PRC) both analytically and using a real-life empirical example of yield spread as a predictor of recessions. We show that false alarm rate in ROC and inverted precision in PRC are...
Persistent link: https://www.econbiz.de/10014350696
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Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility
Marcellino, Massimiliano Giuseppe - 2014
In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both … volatility contributes to an improvement in density forecast accuracy …
Persistent link: https://www.econbiz.de/10013064512
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The Diversity of Forecasts from Macroeconomic Models of the U.S. Economy
Wieland, Volker - 2010
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal...
Persistent link: https://www.econbiz.de/10013142142
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Short-term GDP forecasting with a mixed-frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 1, pp. 118-127
Persistent link: https://www.econbiz.de/10011691233