Camacho, Maximo; Pacce, Matías; Pérez-Quirós, Gabriel - 2020
To analyze the international transmission of business cycle fluctuations, we propose a new multilevel dynamic factor … quarterly and monthly frequencies. By means of Monte Carlo simulations, we show the high performance of the model in computing … inferences of the unobserved factors, accounting for the spillover effects, and estimating the model's parameters. We apply our …