Search Results - subject:"Factor Models"

Why didn't the Global Financial Crisis hit Latin America?

Boonman, Tjeerd M.; Jacobs, Jan P. A. M.; Kuper, Gerard H. - Centre Interuniversitaire de Recherche en Analyse des … - 2011

Latin America has a rich history of financial crises. However, it was relatively unharmed by the 2007-2009 Global Financial Crisis (GFC). This paper investigates why, and in particular the role of commodity prices and its institutional framework - in line with the fourth generation financial...

Persistent link: https://www.econbiz.de/10009325730

Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)

Hanauer, Matthias; Kaserer, Christoph; Rapp, Marc Steffen - Fakultät für Wirtschaftswissenschaften, Technische … - 2011

factors of standard multi-factor models. Based on the returns of all stocks listed in the German composite index CDAX (all … portfolios, sorted by market capitalization and book-to-market equity, are captured substantially better by multi-factor models …

Persistent link: https://www.econbiz.de/10009372405

Making a Weak Instrument Set Stronger: Factor-Based Estimation of the Taylor Rule

Mirza, Harun; Storjohann, Lidia - University of Bonn, Germany - 2011

The problem of weak identification has recently attracted attention in the analysis of structural macroeconomic models. Using robust methods can result in large confidence sets making inference difficult. We overcome this problem in the analysis of a forward-looking Taylor rule by seeking...

Persistent link: https://www.econbiz.de/10009393202

Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns

Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - Norges Bank - 2011

This paper uses a multi-factor pricing model with time-varying risk exposures and premia to examine whether the 2003-2006 period has been characterized, as often claimed by a number of commentators and policymakers, by a substantial missprcing of publicly traded real estate assets (REITs). The...

Persistent link: https://www.econbiz.de/10009393966

Forecasting macroeconomic variables using disaggregate survey data

Martinsen, Kjetil; Ravazzolo, Francesco; Wulfsberg, Fredrik - Norges Bank - 2011

Norway. We propose several factor models based on regional and sectoral information given by the survey. The analysis … different variables and horizons. Results show that several factor models beat an autoregressive benchmark in forecasting … inflation and unemployment rate. However, the factor models are most successful in forecasting GDP growth. Forecast combinations …

Persistent link: https://www.econbiz.de/10008914770

Nowcasting inflation using high frequency data

Modugno, Michele - European Central Bank - 2011

This paper proposes a methodology to nowcast and forecast inflation using data with sampling frequency higher than monthly. The nowcasting literature has been focused on GDP, typically using monthly indicators in order to produce an accurate estimate for the current and next quarter. This paper...

Persistent link: https://www.econbiz.de/10008917863

On the importance of sectoral and regional shocks for price-setting

Hubrich, Kirstin; Marcellino, Massimiliano; Beck, Günter W. - European Central Bank - 2011

We use a novel disaggregate sectoral euro area data set with a regional breakdown to investigate price changes and suggest a new method to extract factors from over-lapping data blocks. This allows us to separately estimate aggregate, sectoral, country-specific and regional components of price...

Persistent link: https://www.econbiz.de/10009002547

Aggregation in Large Dynamic Panels

Pesaran, Hashem M.; Chudik, Alexander - CESifo - 2011

This paper considers the problem of aggregation in the case of large linear dynamic panels, where each micro unit is potentially related to all other micro units, and where micro innovations are allowed to be cross sectionally dependent. Following Pesaran (2003), an optimal aggregate function is...

Persistent link: https://www.econbiz.de/10008853858

Comparing China’s GDP Statistics with Coincident Indicators

Mehrotra, Aaron; Paakkonen, Jenni - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2011

We use factor analysis to summarize information from various macroeconomic indicators, effectively producing coincident indicators for the Chinese economy. We compare the dynamics of the estimated factors with GDP, and compare our factors with other published indicators for the Chinese economy....

Persistent link: https://www.econbiz.de/10008854090

FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure

Frale, Cecilia; Monteforte, Libero - Banca d'Italia - 2011

frequency models in a pseudo-real time experiment, also allowing for pooled forecast from factor models. …

Persistent link: https://www.econbiz.de/10008835085