This paper employs concepts from information theory for choosing the dimension of a data set. We propose a relative information measure connected to Kullback–Leibler numbers. By ordering the series of the data set according to the measure, we are able to obtain a subset of a data set that is...

This paper sets out a comprehensive framework to identify regional business cycles within Spain and analyses their stylised features and the degree of synchronisation both within them and between them and the Spanish economy. We show that the regional cycles are quite heterogeneous although they...

French economic activity is significantly affected by economic activity in the rest of the world. In recent years, the export performance of France relative to its own past and relative to a major trading partner, Germany, deteriorated. That deterioration seems related to the trend growth of...

This paper considers methods for forecasting macroeconomic time series in a framework where the number of predictors, N, is too large to apply traditional regression models but not sufficiently large to resort to statistical inference based on double asymptotics. Our interest is motivated by a...

This paper investigates the transmission of US macroeconomic shocks to Germany by employing a large-dimensional structural dynamic factor model. This framework allows us to investigate many transmission channels simultaneously, including 'new' channels like stock markets, foreign direct...

Standard measures of prices are often contaminated by transitory shocks. This has prompted economists to suggest the use of measures of underlying in?ation to formulate monetary policy and assist in forecasting observed in?ation. Recent work has concentrated on modelling large datasets using...

Standard measures of prices are often contaminated by transitory shocks. This has prompted economists to suggest the use of measures of underlying in?ation to formulate monetary policy and assist in forecasting observed in?ation. Recent work has concentrated on modelling large datasets using...

This paper investigates the transmission of US macroeconomic shocks to Germany by employing a large-dimensional structural dynamic factor model. This framework allows us to investigate many transmission channels simultaneously, including 'new' channels like stock markets, foreign direct...