We propose a modelling approach involving a series of small-scale factor models. They are connected to each other within a cluster, whose linkages are derived from Granger-causality tests. GDP forecasts are established across the production, income and expenditure accounts within a disaggregated...

A factor augmented dynamic model for analysing tail behaviour of high dimensional time series is proposed. As a first step, the tail event driven latent factors are extracted. In the second step, a VAR (Vectorautoregression model) is carried out to analyse the interaction between these factors...

The People's Bank of China (PBoC) has taken numerous measures to cushion the impacts of the COVID-19 health crisis on the Chinese economy. As the current monetary policy framework features a multi-instrument mix of liquidity tools and pricing signals, we employ a dynamic-factor modeling approach...