Search Results - subject:"Dynamic factor Model"

Does economic policy uncertainty lead systemic risk? : a comparative analysis of selected european countries

Stolbov, Michail Iosifovič; Karminskij, Aleksandr M.; … - In: Comparative economic studies 60 (2018) 3, pp. 332-360

Persistent link: https://www.econbiz.de/10012172348

Keeping a finger on the pulse of the economy: Nowcasting Swiss GDP in real-time squared

Siliverstovs, Boriss - 2012

This study evaluates forecasting performance of a large-scale factor model developed in Siliverstovs and Kholodilin (2012) in a genuine ex ante forecasting exercise. We perform our forecast of GDP growth in Switzerland in real time using real-time data vintages collected at weekly frequency....

Persistent link: https://www.econbiz.de/10010319722

Money-based inflation risk indicator for Russia : a structural dynamic factor model approach

Deriugina, Elena; Ponomarenko, Alexey - 2012

Persistent link: https://www.econbiz.de/10009758233

Un indicador mensual adelantado del sector de construcción : IMACO

Acosta, Alicia; Barráez, Daniel; Paracare, Elsy - 2012

Persistent link: https://www.econbiz.de/10009688791

A factor analysis for the Spanish economy

Cuevas, Ángel; Quilis, Enrique M. - In: SERIEs - Journal of the Spanish Economic Association 3 (2012) 3, pp. 311-338

We present a medium-scale dynamic factor model to estimate and forecast the rate of growth of the Spanish economy in …

Persistent link: https://www.econbiz.de/10010317084

The Relation Between Banks' Funding Costs, Retail Rates and Loan Volumes: An Analysis of Norwegian Bank Micro Data

Raknerud, Arvid; Vatne, Bjørn Helge - 2012

We use a dynamic factor model and a detailed panel data set for six Norwegian bank groups to analyze i) how funding …

Persistent link: https://www.econbiz.de/10012143805

An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal

Jin, Xisong; Simone, Francisco Nadal De - Central Bank of Luxembourg - 2012

Generalized Dynamic Factor Model into a dynamic t-copula as a mechanism for obtaining banks? dependence, this paper develops a …

Persistent link: https://www.econbiz.de/10010826820

The relation between banks' funding costs, retail rates and loan volumes: An analysis of Norwegian bank micro data

Raknerud, Arvid; Vatne, Bjørn Helge - Norges Bank - 2012

We use a dynamic factor model and a detailed panel data set for six Norwegian bank groups to analyze i) how funding …

Persistent link: https://www.econbiz.de/10010835405

Zastosowanie modeli czynnikowych do konstrukcji barometru koniunktury na podstawie badań ankietowych [Using Dynamic Factor Models for Constructing Economic Activity Indicator from Survey Data]

Dudek, Sławomir Marcin; Zając, Tomasz - In: Prace i Materiały 90 (2012) 3, pp. 183-213

W opracowaniu przedstawiono syntetyczny wskaźnik aktywności gospodarczej w Polsce (barometr koniunktury), zbudowany na podstawie danych ankietowych Instytutu Rozwoju Gospodarczego SGH i Instytutu Transportu Samochodowego. Do oszacowania barometru koniunktury zastosowano podejście...

Persistent link: https://www.econbiz.de/10010820074

Do Euro area countries respond asymmetrically to the common monetary policy?

Barigozzi, Matteo; Conti, Antonio; Luciani, Matteo - London School of Economics (LSE) - 2012

monetary policy. Our analysis is based on a Structural Dynamic Factor model estimated on a large panel of quarterly variables …

Persistent link: https://www.econbiz.de/10010745032