Search Results - subject:"Dynamic factor Model"

A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets

Guo-Fitoussi, Liang; Darné, Olivier - HAL - 2014

factor model in a small sample. Both static and dynamic factor numbers' selection rules are studied. Simulations show that …In this paper, we compare the properties of the main criteria proposed for selecting the number of factors in dynamic …

Persistent link: https://www.econbiz.de/10011026185

Metro Business Cycles

Arias, Arias , Maria A.; Gascon, Charles S.; Rapach, … - Federal Reserve Bank of St. Louis - 2014

is computed via a dynamic factor model that includes 14 variables measuring various aspects of economic activity in a … metro area. We estimate the dynamic factor model using the recently developed maximum-likelihood approach of Bańbura and …

Persistent link: https://www.econbiz.de/10011027333

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Bańbura, Marta; Giannone, Domenico; Lenza, Michele - 2014

vector autoregressions (VARs) and a large dynamic factor model (DFM) for a quarterly data set of 26 euro area macroeconomic …

Persistent link: https://www.econbiz.de/10011605778

Monetary policy effectiveness in China: evidence from a FAVAR model

Fernald, John; Spiegel, Mark M; Swanson, Eric T. - Federal Reserve Bank of San Francisco - 2014

We use a broad set of Chinese economic indicators and a dynamic factor model framework to estimate Chinese economic …

Persistent link: https://www.econbiz.de/10010752048

A shadow policy rate to calibrate US monetary policy at the zero lower bound

Lombardi, Marco; Zhu, Feng - 2014

Persistent link: https://www.econbiz.de/10010402200

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Bańbura, Marta; Giannone, Domenico; Lenza, Michele - 2014

Persistent link: https://www.econbiz.de/10010376924

Assessing the change in labor market conditions

Chung, Hess T.; Fallick, Bruce; Nekarda, Christopher J.; … - 2014

Persistent link: https://www.econbiz.de/10010497137

China's role in global inflation dynamics

Eickmeier, Sandra; Kühnlenz, Markus - 2013

We apply a structural dynamic factor model to a large quarterly dataset covering 38 countries between 2002 and 2011 to …

Persistent link: https://www.econbiz.de/10010311863

International transmission of financial stress: Evidence from a GVAR

Dovern, Jonas; van Roye, Björn - 2013

We analyze the international transmission of financial stress and its effects on economic activity. We construct country specific monthly financial stress indexes (FSI) using dynamic factor models from 1970 until 2012 for 20 countries. We show that there is a strong co-movement of the FSI during...

Persistent link: https://www.econbiz.de/10010316033

CDO surfaces dynamics

Choros-Tomczyk, Barbara; Härdle, Wolfgang Karl; … - 2013

Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has shown that the standard market models fail to measure and forecast financial risks and their characteristics. This work studies risk of collateralized debt obligations (CDOs) by...

Persistent link: https://www.econbiz.de/10010318788

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