Search Results - subject:"Dynamic factor Model"

Modelling the Australasian financial cycle: A Markov-Regime Switching Approach

de Wet, Milan C. - In: International Journal of Business and Economic Sciences … 14 (2021) 1, pp. 69-79

/methodology/approach: To construct the aggregate cycle, a dynamic factor model is employed, based on credit aggregates and aggregate property …

Persistent link: https://www.econbiz.de/10012622996

Tracking U.S. consumers in real time with a new Weekly Index of Retail Trade

Brave, Scott A.; Fogarty, Michael; Aaronson, Daniel; … - 2021

method that uses a mixed-frequency dynamic factor model to constrain the weekly index to match the monthly MRTS. We use the …

Persistent link: https://www.econbiz.de/10012653038

Arbitrage-free Nelson–Siegel model for multiple yield curves

Brignone, Riccardo; Gerhart, Christoph; Lütkebohmert, Eva - In: Mathematics and Financial Economics 16 (2021) 2, pp. 239-266

We propose an affine term structure model that allows for tenor-dependence of yield curves and thus for different risk categories in interbank rates, an important feature of post-crisis interest rate markets. The model has a Nelson–Siegel factor loading structure and thus economically well...

Persistent link: https://www.econbiz.de/10014501420

Macroeconomic perspective on constructing financial vulnerability indicator in China

Kuek, Tai-Hock; Puah, Chin-Hong; Habibullah, Muzafar Shah - In: Journal of Business Economics and Management (JBEM) 22 (2021) 1, pp. 181-196

This paper attempts to develop a financial vulnerability indicator for China as a barometer for the state of financial vulnerability in the Chinese financial market, possibly for real-time application. Twelve variables from different sectors are utilised to extract a common vulnerability...

Persistent link: https://www.econbiz.de/10015401345

Nowcasting Swedish GDP growth

Ankargren, Sebastian; Lindholm, Unn - 2021

Persistent link: https://www.econbiz.de/10012436898

Daily news sentiment and monthly surveys : a mixed-frequencydynamic 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/10012437743

The ECB's tracker : nowcasting the press conferences of the ECB

Marozzi, Armando - 2021

This paper proposes an econometric framework for nowcasting the monetary policy stance and decisions of the European Central Bank (ECB) exploiting the ow of conventional and textual data that become available between two consecutive press conferences. Decompositions of the updated nowcasts into...

Persistent link: https://www.econbiz.de/10012648896

Tracking weekly state-level economic conditions

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

Persistent link: https://www.econbiz.de/10012793142

Measuring and testing a modified version of the South African financial cycle

Nyati, Malibongwe C.; Tipoy, Christian K.; Muzindutsi, … - 2021

Persistent link: https://www.econbiz.de/10012796711

Heterogeneity, co-movements and financial fragmentation within the euro area

Arce-Alfaro, Gabriel; Blagov, Boris - 2021

volumes. Using a time-varying two-level dynamic factor model, we disentangle the relative importance of country-specific and …

Persistent link: https://www.econbiz.de/10012800476