Search Results - subject:"DIFFUSION INDEX"

A financial stress indicator for Germany

Metiu, Norbert - 2024

This paper describes the Bundesbank's weekly financial stress indicator for Germany. The indicator condenses several financial market variables into a summary measure of financial stress. It represents a contemporaneous, market-based indicator that captures the materialisation of systemic risk...

Persistent link: https://www.econbiz.de/10015273123

Factor-augmented forecasting in big data

Bae, Juhee - In: International journal of forecasting 40 (2024) 4, pp. 1660-1688

Persistent link: https://www.econbiz.de/10015438500

A financial stress indicator for Germany

Metiu, Norbert - 2024

Persistent link: https://www.econbiz.de/10015211120

Could diffusion indexes have forecasted the Great Recession??

Mathy, Gabriel; Zhao, Yongchen - 2024

Persistent link: https://www.econbiz.de/10015419235

A diffusion index analysis of the Argentinean business economic cycle based on the "Survey of Business Economic Perspectives"

Elosegui, Pedro; González, Mirta; Pérez, María Cecilia; … - In: Latin American journal of central banking : LAJCB 5 (2024) 2, pp. 1-15

data from the firms we calculate (i) the marginal diffusion index (MDI) proposed by the Federal Reserve Bank of Chicago … fixed diffusion index (MFDI), a real-time variation of the latter. To contrast and validate the indexes' ability to …

Persistent link: https://www.econbiz.de/10015055137

Forecasting Singapore's economy statistical learning and factor models

Foo, Benedict; Koh, Deng Yao; Tan, Juan Pang; Wang, Wenjie - In: The Singapore economic review 68 (2023) 2, pp. 319-353

We evaluate the performance of the penalized vector autoregression (VAR), diffusion index (DI), and regression tree …

Persistent link: https://www.econbiz.de/10014279215

Could diffusion indexes have forecasted the Great Depression?

Mathy, Gabriel; Zhao, Yongchen - In: Journal of forecasting 44 (2025) 2, pp. 320-338

Persistent link: https://www.econbiz.de/10015374027

Factor-augmented regressions and their applications to financial markets : a selective review

Zhang, Yonghui - In: Financial econometrics : theory and applications, (pp. 60-94). 2025

Persistent link: https://www.econbiz.de/10015426485

A diffusion index analysis of the Argentinean business economic cycle during the COVID-19 pandemic

Elosegui, Pedro; González, Mirta; Pérez, María Cecilia; … - 2022

"respondent bias" and; a (ii) marginal fixed diffusion index (MFDI) that corrects the ex-post changes on past MDI index generated … Perspectives collected by the Central Bank of Argentina, is used to calculate two diffusion indexes: (i) the marginal diffusion … index (MDI) based on the balance of answers and demeaned by the averaged participant response aiming at correcting for the …

Persistent link: https://www.econbiz.de/10014545971

A composite indicator of financial conditions for Germany

Metiu, Norbert - 2022

This paper proposes a composite indicator of financial conditions for Germany. The composite indicator distills information from large amounts of data covering different segments of the German financial system into a summary measure of financial conditions. This measure is constructed from 70...

Persistent link: https://www.econbiz.de/10014476360

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