Search Results - subject:"Dynamic factor model"

Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors

Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021

We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...

Persistent link: https://www.econbiz.de/10012606022

Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence

Algaba, Andres; Borms, Samuel; Boudt, Kris; Verbeken, Brecht - 2021

sentiment in the dynamic factor model for nowcasting consumer confidence. …-based consumer confidence and daily sentiment embedded in economic media news articles. The proposed mixed-frequency dynamic factor … model framework uses a novel covariance matrix specification. Model estimation and real-time filtering of the latent …

Persistent link: https://www.econbiz.de/10012606470

Modelling the Australasian financial cycle: A Markov-Regime Switching Approach

de Wet, Milan C. - In: International Journal of Business and Economic Sciences … 14 (2021) 1, pp. 69-79

/methodology/approach: To construct the aggregate cycle, a dynamic factor model is employed, based on credit aggregates and aggregate property …

Persistent link: https://www.econbiz.de/10012622996

Tracking U.S. consumers in real time with a new Weekly Index of Retail Trade

Brave, Scott A.; Fogarty, Michael; Aaronson, Daniel; … - 2021

method that uses a mixed-frequency dynamic factor model to constrain the weekly index to match the monthly MRTS. We use the …

Persistent link: https://www.econbiz.de/10012653038

The ECB's tracker: Nowcasting the press conferences of the ECB

Marozzi, Armando - 2021

This paper proposes an econometric framework for nowcasting the monetary policy stance and decisions of the European Central Bank (ECB) exploiting the ow of conventional and textual data that become available between two consecutive press conferences. Decompositions of the updated nowcasts into...

Persistent link: https://www.econbiz.de/10012661637

Weekly economic activity: Measurement and informational content

Wegmüller, Philipp; Glocker, Christian; Guggia, Valentino - 2021

We construct a composite index to measure real activity of the Swiss economy on a weekly frequency. The index is based on a novel high-frequency data-set capturing economic activity across distinct dimensions over a long-time horizon. An adequate adjustment of raw data prior to deriving the...

Persistent link: https://www.econbiz.de/10012514728

A data-driven approach to measuring epidemiological susceptibility risk around the world

Bitetto, Alessandro; Cerchiello, Paola; Mertzanis, Charilaos - 2021

Persistent link: https://www.econbiz.de/10012887214

Constructing a coincident economic indicator for India : how well does it track gross domestic product?

Bhadury, Soumya; Ghosh, Saurabh; Kumar, Pankaj - In: Asian development review : studies of Asian and pacific … 38 (2021) 2, pp. 237-277

financial sector on economic activity. CEIIs are estimated using a dynamic factor model which extracts a common trend underlying …

Persistent link: https://www.econbiz.de/10013329304

Financial conditions and downside risk to economic activity in Australia

Hartigan, Luke; Wright, Michelle - 2021

Persistent link: https://www.econbiz.de/10013263124

Tracking weekly state-level economic conditions

Baumeister, Christiane; Leiva-León, Danilo; Sims, Eric R. - 2021

In this paper, we develop a novel dataset of weekly economic conditions indices for the 50 U.S. states going back to 1987 based on mixed-frequency dynamic factor models with weekly, monthly, and quarterly variables that cover multiple dimensions of state economies. We show that there is...

Persistent link: https://www.econbiz.de/10012584223