Showing 441 - 447 of 447
Persistent link: https://www.econbiz.de/10006758412
This paper investigates dynamic correlations both across commodities and between commodities and traditional assets, such as equities and government bonds, using the Regime Switching Dynamic Correlation (RSDC) model. There are three major findings. First, results from correlations both across...
Persistent link: https://www.econbiz.de/10013020793
For few years, the increasing size of available economic and financial databases has led econometricians to develop and adapt new methods in order to efficiently summarize information contained in those large datasets. Among those methods, dynamic factor models have known a rapid development and...
Persistent link: https://www.econbiz.de/10013035770
This paper proposes new bridge equations for the Monthly Index of Business Activity (MIBA) published by the Banque de France. The MIBA is a forecasting tool for the quarterly GDP growth in France both for the current quarter and the next quarter, originally based on the surveys in the industrial...
Persistent link: https://www.econbiz.de/10013136875
This paper proposes two new coincident probabilistic cyclical indicators developed by the Bank of France in order to follow, on a monthly basis, the French economic activity. The first one is an indicator which aims at detecting the turning points of the acceleration cycle while the second one...
Persistent link: https://www.econbiz.de/10013137350
This paper presents a revised version of the model OPTIM, proposed by Irac and Sédillot (2002), used at the Banque de France in order to predict French GDP quarterly growth rate, for the current and next quarters. The model is designed to be used on a monthly basis by integrating monthly...
Persistent link: https://www.econbiz.de/10013138106
This paper compares the GDP forecasting performance of alternative factor models based on monthly time series for the French economy. These models are based on static and dynamic principal components. The dynamic principal components are obtained using time and frequency domain methods. The...
Persistent link: https://www.econbiz.de/10013138209