Search Results - subject:"Dynamic factor"

Estimating monetary conditions index for selected countries in the ECOWAS region

Diallo, Ibrahima; Konté, Mamadou Abdoulaye - In: West African Journal of Monetary and Economic Integration 22 (2022) 1, pp. 1-30

, Nigeria, Sierra Leone, and the UEMOA zone. The paper estimated a Dynamic Factor Model (DFM), complemented by Principal …

Persistent link: https://www.econbiz.de/10015197057

Shadow Rates as a Measure of the Monetary Policy Stance: Some International Evidence

Anderl, Christina; Caporale, Guglielmo Maria - 2022

) over the period from the early 1990s to December 2021. Shadow rates estimated from a dynamic factor model are shown to …

Persistent link: https://www.econbiz.de/10013353451

A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2022

A flexible predictive density combination model is introduced for large financial data sets which allows for dynamic weight learning and model set incompleteness. Dimension reduction procedures allocate the large sets of predictive densities and combination weights to relatively small sets....

Persistent link: https://www.econbiz.de/10013356469

A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2022

A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets. Given the...

Persistent link: https://www.econbiz.de/10013356509

Um modelo para projeção de arrecadação tributária dos entes subnacionais

De Mendonça, Mário Jorge Cardoso; Do Nascimento, Igor … - 2022

The forecasting of government revenues is extremely important for an adequate budget execution, since a good accuracy in the estimation allows the stipulation of an expenditure level that meets the demands of the population. Using data released by the National Council of Treasury Policy, the...

Persistent link: https://www.econbiz.de/10013400244

Sectoral Uncertainty

Castelnuovo, Efrem; Tuzcuoglu, Kerem; Uzeda, Luis - 2022

We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial production series for the US economy. Our results...

Persistent link: https://www.econbiz.de/10013470293

Nowcasting the Maltese economy with a dynamic factor model

Ellul, Reuben; Ruisi, Germano - 2022

This paper describes a dynamic factor model for the Maltese economy. The model mainly serves as a tool to timely … in a synchronous way. The forecasting power of the dynamic factor model is compared with those of several other models … available at the Central Bank of Malta. Overall, the results point towards a higher forecast accuracy of the dynamic factor …

Persistent link: https://www.econbiz.de/10013483516

Time-variation in the effects of push and pull factors on portfolio flows: Evidence from a Bayesian dynamic factor model

Bettendorf, Timo; Karadimitropoulou, Aikaterini - 2022

do so, we extract common and country-specific components from fund flow data using Bayesian dynamic factor models with …

Persistent link: https://www.econbiz.de/10013041411

What financial conditions affect dynamic equity risk factor allocation?

Backhaus, Achim; Zhakanova, Aliya; Bausch, Matthias - In: Economies 10 (2022) 2, pp. 1-21

The "technology bubble" in the late 1990s, the financial crisis in 2007/2008, and the Eurozone crisis generated significant losses across several asset classes. The objective of this paper is to investigate risk premia factors such as size, value, momentum, carry, quality, and low volatility and...

Persistent link: https://www.econbiz.de/10013199984

Explaining aggregated recovery rates

Höcht, Stephan; Wieczorek, Jakub; Zagst, Rudi - In: Risks 10 (2022) 1, pp. 1-30

extract monthly signals of GDP USA and Europe, dynamic factor models for panel data of different frequency information are …

Persistent link: https://www.econbiz.de/10013200909