Search Results - subject:"Dynamic Factor model"

Monetary Policy Effect on the Business Cycle Fluctuations: Output vs. Index Measures of the Cycle

Korenok, Oleg; Radchenko, Stanislav - EconWPA - 2004

factor model. We find that monetary policy shocks have a small but significant impact on persistent and transitory parts of … questions, we measure cycle movements by calculating an index from a number of aggregate macroeconomic series via a dynamic …

Persistent link: https://www.econbiz.de/10005076805

The Feldstein-Horioka Fact

Giannone, Domenico; Lenza, Michele - C.E.P.R. Discussion Papers - 2004

This Paper shows that general equilibrium effects can partly rationalize the high correlation between saving and investment observed in OECD countries. We introduce a novel factor augmented panel regression to control for general equilibrium effects where global shocks are allowed to affect each...

Persistent link: https://www.econbiz.de/10005666697

Business Cycle Indexes: Does a Heap of Data Help?

Inklaar, Robert; Jacobs, Jan; Romp, Ward - In: Journal of Business Cycle Measurement and Analysis 2004 (2004) 3, pp. 309-336

method and a recently developed dynamic factor model, and compares these methods for the euro area. The results suggest that … factor model, and compares these methods for the euro area. The results suggest that a reliable index can be constructed from … discusses two methods for constructing business cycle indexes, the traditional NBER method and a recently developed dynamic …

Persistent link: https://www.econbiz.de/10008492390

A Dynamic Factor Approach to Nonlinear Stability Analysis

Shintani, Mototsugu - Econometric Society - 2004

A method of principal components is employed to investigate nonlinear dynamic factor structure using a large panel data. The evidence suggests the possibility of nonlinearity in the U.S. while it excludes the class of nonlinearity that can generate endogenous fluctuation or chaos

Persistent link: https://www.econbiz.de/10005130249

A Dynamic Factor Analysis of Financial Contagion in Asia

Cipollini, Andrea; Kapetanios, George - School of Economics and Finance, Queen Mary - 2003

In this paper we compared the performance of country specific and regional indicators of reserve adequacy in predicting, out of sample, the balance of payment crisis affecting the South East Asian region during the 1997-98 period. A Dynamic Factor method was used to retrieve reserve adequacy...

Persistent link: https://www.econbiz.de/10005106296

Rent Sharing and Bargaining Levels: Evidence from Italy

Pistoresi, Barbara; Strozzi, Chiara - In: Giornale degli Economisti 62 (2003) 2, pp. 145-170

This paper studies the extent of rent sharing in the Italian metal- mechanical industry by analyzing separately what occurs at each stage of wage negotiations. In particular, we evaluate how, through the bargaining process, aggregate and idiosyncratic productivity shocks influence respectively...

Persistent link: https://www.econbiz.de/10005827636

Macroeconomic forecasting using diffusion indexes

Stock, James H.; Watson, Mark W. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 147-162

Persistent link: https://www.econbiz.de/10001660369

EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle

Altissimo, Filippo; Bassanetti, Antonio; Cristadoro, … - C.E.P.R. Discussion Papers - 2001

This Paper is the result of the Bank of Italy-CEPR project to construct a monthly coincident indicator of the business cycle of the euro area. The index is estimated on the basis of a harmonized data set of monthly statistics of the euro area (951 series) which we constructed from a variety of...

Persistent link: https://www.econbiz.de/10005504237

Rent Sharing in Wage Determination: Evidence from Italy

Pistoresi, Barbara; Strozzi, Chiara - C.E.P.R. Discussion Papers - 2001

separately what occurs at each of the two bargaining stages. In particular, by estimating a dynamic factor model and by measuring …

Persistent link: https://www.econbiz.de/10005656220

An automatic leading indicator of economic activity: forecasting GDP growth for European countries

CAMBA-MENDEZ, GONZALO; KAPETANIOS, GEORGE; SMITH, RICHARD J. - In: Econometrics Journal 4 (2001) 1, pp. 37-37

proposes an automatic leading indicator model which, rather than preselection, uses a dynamic factor model to summarize the …

Persistent link: https://www.econbiz.de/10005607088