Search Results - subject:"Dynamic factor Model"

Finite Sample Performance of Principal Components Estimators for Dynamic Factor Models: Asymptotic vs. Bootstrap Approximations

Shintani, Mototsugu; Guo, Zi-Yi - 2011

This paper investigates the finite sample properties of the two-step estimators of dynamic factor models when unobservable common factors are estimated by the principal components methods in the first step. Effects of the number of individual series on the estimation of an auto-regressive model...

Persistent link: https://www.econbiz.de/10011703787

How Do Banks' Funding Costs Affect Interest Margins?

Raknerud, Arvid; Vatne, Bjørn Helge; Rakkestad, Ketil Johan - 2011

We use a dynamic factor model and a detailed panel data set with quarterly accounts data on all Norwegian banks to …

Persistent link: https://www.econbiz.de/10012143774

How do banks' funding costs affect interest margins?

Raknerud, Arvid; Vatne, Bjørn Helge; Rakkestad, Ketil - 2011

We use a dynamic factor model and a detailed panel data set with quarterly accounts data on all Norwegian banks to …

Persistent link: https://www.econbiz.de/10011968435

Tracking Chinese CPI inflation in real time

Funke, Michael; Mehrotra, Aaron; Yu, Hao - 2011

With recovery from the global financial crisis in 2009 and 2010, inflation emerged as a major concern for many central banks in emerging Asia. We use data observed at mixed frequencies to estimate the movement of Chinese headline inflation within the framework of a state-space model, and then...

Persistent link: https://www.econbiz.de/10012148654

Forecasting economic growth in the euro area during the Great Moderation and the Great Recession

Lombardi, Marco J.; Maier, Philipp - 2011

approaches: a simple PMI model based on Purchasing Managers’ Indices (PMIs), a dynamic factor model with euro area data, and a … dynamic factor model with data from the euro plus data from national economies (pseudo-real time data). We estimate backcasts … dynamic factor model tends to outperform the PMI model (at times by a wide margin). However, accuracy of the dynamic factor …

Persistent link: https://www.econbiz.de/10011605425

Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, Andre - Tinbergen Institute - 2011

We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series …

Persistent link: https://www.econbiz.de/10008867497

Forecasting Based on Common Trends in Mixed Frequency Samples

Fuleky, Peter; Bonham, Carl S. - Department of Economics, University of Hawaii-Manoa - 2011

We extend the existing literature on small mixed frequency single factor models by allowing for multiple factors, considering indicators in levels, and allowing for cointegration among the indicators. We capture the cointegrating relationships among the indicators by common factors modeled as...

Persistent link: https://www.econbiz.de/10009321242

How do banks’ funding costs affect interest margins?

Raknerud, Arvid; Vatne, Bjørn Helge; Rakkestad, Ketil - Norges Bank - 2011

We use a dynamic factor model and a detailed panel data set with quarterly accounts data on all Norwegian banks to …

Persistent link: https://www.econbiz.de/10009357858

Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets

Duncan, Andrew Stuart; Kabundi, Alain - Economic Research Southern Africa (ERSA) - 2011

extracted from a panel of monthly volatility proxies relating to 25 developed and 20 emerging stock markets. A dynamic factor … model (FM) is estimated using two-year rolling window regressions. The FMÂ’s time-varying variance shares of global factors …

Persistent link: https://www.econbiz.de/10009358927

Forecasting economic growth in the euro area during the Great Moderation and the Great Recession

Lombardi, Marco J.; Maier, Philipp - European Central Bank - 2011

Persistent link: https://www.econbiz.de/10009293720