Search Results - subject:"Dynamic factor Model"

International comovements of public debt

Isomitdinov, Hasan; Arčabić, Vladimir; Lee, Junsoo; … - In: Economic inquiry 62 (2024) 2, pp. 722-747

Persistent link: https://www.econbiz.de/10014541511

International housing markets and the U.S. subprime crisis

Luo, Shikong; Ma, Jun - In: Journal of money, credit and banking : JMCB 56 (2024) 2/3, pp. 647-669

Persistent link: https://www.econbiz.de/10014544993

Are we fragmented yet? : measuring geopolitical fragmentation and its causal effects

Fernández-Villaverde, Jesús; Mineyama, Tomohide; … - 2024

Persistent link: https://www.econbiz.de/10015145372

Are we fragmented yet? : measuring geopolitical fragmentation and its causal effects

Fernández-Villaverde, Jesús; Mineyama, Tomohide; … - 2024

Persistent link: https://www.econbiz.de/10014563093

Weekly economic activity: Measurement and informational content

Wegmüller, Philipp; Glocker, Christian; Guggia, Valentino - 2021

We construct a composite index to measure real activity of the Swiss economy on a weekly frequency. The index is based on a novel high-frequency data-set capturing economic activity across distinct dimensions over a long-time horizon. An adequate adjustment of raw data prior to deriving the...

Persistent link: https://www.econbiz.de/10012514728

The Credit Composition of Global Liquidity

Herwartz, Helmut; Ochsner, Christian; Rohloff, Hannes - 2021

factor model. Going beyond previous work, we decompose aggregate credit components into credit supply and demand flows …We conceptualize global liquidity as global monetary policy and credit components by means of a large-scale dynamic …

Persistent link: https://www.econbiz.de/10012543696

Housing demand shocks and households' balance sheets

Anderes, Marc - 2021

implied by our structural dynamic factor model. A historical decomposition suggests that housing demand shocks have largely …

Persistent link: https://www.econbiz.de/10012546047

Tracking Weekly State-Level Economic Conditions

Baumeister, Christiane; Leiva-León, Danilo; Sims, Eric R. - 2021

In this paper, we develop a novel dataset of weekly economic conditions indices for the 50 U.S. states going back to 1987 based on mixed-frequency dynamic factor models with weekly, monthly, and quarterly variables that cover multiple dimensions of state economies. We show that there is...

Persistent link: https://www.econbiz.de/10012599252

Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors

Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021

We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...

Persistent link: https://www.econbiz.de/10012606022

Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence

Algaba, Andres; Borms, Samuel; Boudt, Kris; Verbeken, Brecht - 2021

sentiment in the dynamic factor model for nowcasting consumer confidence. …-based consumer confidence and daily sentiment embedded in economic media news articles. The proposed mixed-frequency dynamic factor … model framework uses a novel covariance matrix specification. Model estimation and real-time filtering of the latent …

Persistent link: https://www.econbiz.de/10012606470