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Essays on business cycle analysis and demography
Sarferaz, Samad - 2009
Persistent link: https://www.econbiz.de/10008811071
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Improving the robustness of Markov-Switching dynamic factor models with time-varying volatility
Aumond, Romain; Royer, Julien - 2024
Persistent link: https://www.econbiz.de/10014486414
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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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Dynamic factor rotation strategy : a business cycle approach
Kwon, Dohyoung - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-12
This study developed an investment framework to implement dynamic factor rotation strategies according to changes in economic conditions. I constructed a useful macro indicator that tracked real-time business cycles of the US economy and applied a trend-filtering method to the indicator to...
Persistent link: https://www.econbiz.de/10013368326
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Nowcasting Business Cycles : A Bayesian Approach to Dynamic Heterogeneous Factor Models
D'Agostino, Antonello - 2015
We develop a framework for measuring and monitoring business cycles in real time. Following a long tradition in macroeconometrics, inference is based on a variety of indicators of economic activity, treated as imperfect measures of an underlying index of business cycle conditions. We extend...
Persistent link: https://www.econbiz.de/10013016899
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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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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