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Delle Chiaie, Simona; Giannone, Domenico; Ferrara, Laurent - 2017

In this paper we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a global (or common) component, block-specific components and a purely idiosyncratic shock. We find that the bulk of the...

Persistent link: https://www.econbiz.de/10011853300

A financially stressed Euro area

Kappler, Marcus; Schleer, Frauke - 2016

-time forecasting exercise, the authors show that including additional factors - that reflect financial sector conditions - improves …

Persistent link: https://www.econbiz.de/10011478670

Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data

Blasques, Francisco; Hoogerkamp, Meindert Heres; … - 2021

in its ability to accurately capture clusters and preserve or enhance forecasting accuracy. For a high …

Persistent link: https://www.econbiz.de/10012427178

Nowcasting the Maltese economy with a dynamic factor model

Ellul, Reuben; Ruisi, Germano - 2022

product, which in turn are used as an input in the forecasting process. Such forecasts reflect and incorporate the flow of … in a synchronous way. The forecasting power of the dynamic factor model is compared with those of several other models …

Persistent link: https://www.econbiz.de/10013483516

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 … accuracy not inferior to that of structural models. Additional advantage of their approach is that the forecasting procedure … can be mostly automated and the influence of subjective decisions made in the forecasting process can be significantly …

Persistent link: https://www.econbiz.de/10010512954

Real time underlying inflation gauges for monetary policymakers

Amstad, Marlene; Potter, Simon - 2009

Central banks analyze a wide range of data to obtain better measures of underlying inflationary pressures. Factor models have widely been used to formalize this procedure. Using a dynamic factor model this paper develops a measure of underlying inflation (UIG) at time horizons of relevance for...

Persistent link: https://www.econbiz.de/10010287106

Bayesian averaging vs. dynamic factor models for forecasting economic aggregates with tendency survey data

Bialowolski, Piotr; Kuszewski, Tomasz; Witkowski, Bartosz - 2015

Persistent link: https://www.econbiz.de/10010512536

Forecasting with factor-augmented error correction models

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - In: International journal of forecasting 30 (2014) 3, pp. 589-612

Persistent link: https://www.econbiz.de/10010513599

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

Dokładność wybranych metod prognozowania wynagrodzeń i liczby pracujących w Polsce

Acedański, Jan; Bernais, Jolanta; Malstalerz-Kodzis, … - In: Bank i kredyt 45 (2014) 2, pp. 163-196

Persistent link: https://www.econbiz.de/10010358031