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Is there really a global business cycle? : a dynamic factor model with stochastic factor selection

Berger, Tino; Pozzi, Lorenzo - 2016

We investigate the presence of international business cycles in macroeconomic aggregates (output, consumption, investment) using a panel of 60 countries over the period 1961 - 2014. The paper presents a Bayesian stochastic factor selection approach for dynamic factor models with predetermined...

Persistent link: https://www.econbiz.de/10011556201

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

The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model

Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008

In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...

Persistent link: https://www.econbiz.de/10011376640

A Bayesian analysis of the PPP puzzle using an unobserved components model

Kleijn, Richard; Dijk, Herman K. van - 2001

The failure to describe the time series behaviour of most realexchange rates as temporary deviations from fixedlong-term means may be due to time variation of the equilibriathemselves, see Engel (2000). We implement thisidea using an unobserved components model and decompose theobservations on...

Persistent link: https://www.econbiz.de/10011318578

Global and local components of output gaps

Eckert, Florian; Mühlebach, Nina - 2021

This paper proposes a multi-level dynamic factor model to identify common components in output gap estimates. We pool multiple output gap estimates for 157 countries and decompose them into one global, eight regional, and 157 country-specific cycles. Our approach easily deals with mixed...

Persistent link: https://www.econbiz.de/10012663182

Trend inflation in Sweden

Österholm, Pär; Poon, Aubrey - 2022

data from 1995Q4 to 2021Q4 and Bayesian estimation methods, we find that trend inflation has been well-anchored during the …

Persistent link: https://www.econbiz.de/10012818429

RGAP: output gap estimation in R

Streicher, Sina - 2022

Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models … unobserved component models and offers frequentist as well as Bayesian estimation techniques. Additional functionalities include … preparation, model specification, and estimation processes using RGAP. …

Persistent link: https://www.econbiz.de/10013256541

Improving output gap estimation : a bottom-up approach

Rathke, Alexander; Streicher, Sina - 2023

We propose a multivariate Bayesian state space model to identify potential growth and the output gap consistent with the dynamics of the underlying production sectors of the economy and those of inflation and the labor market. Our approach allows us to decompose economic fluctuations and...

Persistent link: https://www.econbiz.de/10014427292

Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity

Lütkepohl, Helmut; Woźniak, Tomasz - 2017

parameters of structural vector autoregressive (SVAR) models. Economic theory is the primary source of such restrictions. However …

Persistent link: https://www.econbiz.de/10011771740

Is more still better? : revisiting the sixth district coincident indicator

Silos, Pedro; Vilán, Diego - 2009

version of the D6 Factor that improves upon the original model in several ways. While the original D6 based its estimation on … estimation period by a decade. These changes provide the updated model with substantially more information while reducing the … noise in the estimation. -- coincident index ; dynamic factor model …

Persistent link: https://www.econbiz.de/10009419466