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Potjagailo, Galina; Wolters, Maik H. - 2019

We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and...

Persistent link: https://www.econbiz.de/10011987786

Global financial cycles since 1880

Potjagailo, Galina; Wolters, Maik H. - 2019

The authors analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, they analyze the dynamics of co-movement and compare recent...

Persistent link: https://www.econbiz.de/10011992406

Financial cycles across G7 economies : a view from wavelet analysis

Mandler, Martin; Scharnagl, Michael - 2019

We analyse the cross-country dimension of financial cycles by studying cyclical co-movements in credit, house prices, equity prices and interest rates across the G7 economies. We use wavelet-based statistics to assess at which frequencies cyclical fluctuations and their crosscountry co-movements...

Persistent link: https://www.econbiz.de/10012020175

Finding relevant variables in sparse Bayesian factor models : economic applications and simulation results

Kaufmann, Sylvia; Schumacher, Christian - 2012

This paper considers factor estimation from heterogenous data, where some of the variables are noisy and only weakly … estimation with sparse priors on the loadings matrix. The choice of a sparse prior is an extension to the existing macroeconomic … majority of the variables in both datasets are irrelevant for factor estimation. -- Factor models ; variable selection ; sparse …

Persistent link: https://www.econbiz.de/10009674269

What has caused global business cycle decoupling : smaller shocks or reduced sensitivity?

Berger, Tino; Richter, Julia - 2017

According to a growing body of empirical literature, global shocks have become less important for business cycles in industrialized countries and emerging market economies since the mid-1980s. In this paper, we analyze the question of what might have caused a decoupling from the global business...

Persistent link: https://www.econbiz.de/10011584095

An analysis of international shock transmission : a multi-level factor augmented TVP GVAR approach

Sungurtekİn Hallam, Bahar - 2020

Persistent link: https://www.econbiz.de/10013041209

Kim, Dukpa; Oka, Tatsushi; Estrada, Francisco; Perron, … - 2018

What transpires from recent research is that temperatures and radiative forcing seem to be characterized by a linear trend with two changes in the rate of growth. The first occurs in the early 60s and indicates a very large increase in the rate of growth of both temperature and radiative forcing...

Persistent link: https://www.econbiz.de/10014113751

International macroeconomic vulnerability

Velloso, João; Garcia, Márcio Gomes Pinto; Guillen, Diogo - 2022

We propose and implement an index of macroeconomic vulnerability to foreign shocks based on a structural time-varying bayesianVARwith a block-exogeneity hypothesis for a given pair of a large economy and a small open economy. The index is based on the sum of the responses of the small open...

Persistent link: https://www.econbiz.de/10012814956

Global Long-run Risk and International Business Cycles : A Factor-Stochastic Volatility Approach

Figueiredo, Calebe - 2018

We extract a global factor from cross-country output growth since 1960. We find that the fluctuations of the global factor are typically small, with the annualized unconditional volatility estimated at 0.06%, but highly persistent, with estimated persistence at 0.98. Evidence of time variation...

Persistent link: https://www.econbiz.de/10012908986

Are exchange rates interdependent? : evidence using wavelet analysis

Kumar, Satish; Pathak, Rajesh; Tiwari, Aviral Kumar; … - In: Applied economics 49 (2017) 31/33, pp. 3231-3245

Persistent link: https://www.econbiz.de/10011774731

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