Search Results - subject:"Dynamic factor Model"

Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach

Diebold, Francis X.; Li, Canlin; Yue, Vivian Z. - Department of Economics, University of Pennsylvania - 2007

The popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in...

Persistent link: https://www.econbiz.de/10005150218

Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling

Cipollini, Andrea; Missaglia, Giuseppe - Dipartimento di Economia "Marco Biagi", Università … - 2007

Factor model, DF, to a large dataset of default rates proxies and macrovariables for Italy. Multi step ahead density and …In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic …

Persistent link: https://www.econbiz.de/10005181830

Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis

Cipollini, Andrea; Kapetanios, George - School of Economics and Finance, Queen Mary - 2005

In this paper we compare the performance of a regional indicator of vulnerability in predicting, out of sample, the crisis events affecting the South East Asian region during the 1997-98 period. A Dynamic Factor method was used to retrieve the vulnerability indicator and stochastic simulation is...

Persistent link: https://www.econbiz.de/10005106320

A Generalized Dynamic Factor Model for the Belgian Economy: Identification of the Business Cycle and GDP Growth Forecasts

Nieuwenhuyze, Christophe van - In: Journal of Business Cycle Measurement and Analysis 2005 (2005) 2, pp. 213-247

statistical framework used is the One-Sided Generalized Dynamic Factor Model developed by Forni, Hallin, Lippi and Reichlin (2003 …

Persistent link: https://www.econbiz.de/10008492384

Monetary Policy Effect on the Business Cycle Fluctuations: Output vs. Index Measures of the Cycle

Korenok, Oleg; Radchenko, Stanislav - EconWPA - 2004

factor model. We find that monetary policy shocks have a small but significant impact on persistent and transitory parts of … questions, we measure cycle movements by calculating an index from a number of aggregate macroeconomic series via a dynamic …

Persistent link: https://www.econbiz.de/10005076805

The Feldstein-Horioka Fact

Giannone, Domenico; Lenza, Michele - C.E.P.R. Discussion Papers - 2004

This Paper shows that general equilibrium effects can partly rationalize the high correlation between saving and investment observed in OECD countries. We introduce a novel factor augmented panel regression to control for general equilibrium effects where global shocks are allowed to affect each...

Persistent link: https://www.econbiz.de/10005666697

Business Cycle Indexes: Does a Heap of Data Help?

Inklaar, Robert; Jacobs, Jan; Romp, Ward - In: Journal of Business Cycle Measurement and Analysis 2004 (2004) 3, pp. 309-336

method and a recently developed dynamic factor model, and compares these methods for the euro area. The results suggest that … factor model, and compares these methods for the euro area. The results suggest that a reliable index can be constructed from … discusses two methods for constructing business cycle indexes, the traditional NBER method and a recently developed dynamic …

Persistent link: https://www.econbiz.de/10008492390

A Dynamic Factor Approach to Nonlinear Stability Analysis

Shintani, Mototsugu - Econometric Society - 2004

A method of principal components is employed to investigate nonlinear dynamic factor structure using a large panel data. The evidence suggests the possibility of nonlinearity in the U.S. while it excludes the class of nonlinearity that can generate endogenous fluctuation or chaos

Persistent link: https://www.econbiz.de/10005130249

A Dynamic Factor Analysis of Financial Contagion in Asia

Cipollini, Andrea; Kapetanios, George - School of Economics and Finance, Queen Mary - 2003

In this paper we compared the performance of country specific and regional indicators of reserve adequacy in predicting, out of sample, the balance of payment crisis affecting the South East Asian region during the 1997-98 period. A Dynamic Factor method was used to retrieve reserve adequacy...

Persistent link: https://www.econbiz.de/10005106296

Rent Sharing and Bargaining Levels: Evidence from Italy

Pistoresi, Barbara; Strozzi, Chiara - In: Giornale degli Economisti 62 (2003) 2, pp. 145-170

This paper studies the extent of rent sharing in the Italian metal- mechanical industry by analyzing separately what occurs at each stage of wage negotiations. In particular, we evaluate how, through the bargaining process, aggregate and idiosyncratic productivity shocks influence respectively...

Persistent link: https://www.econbiz.de/10005827636