Search Results - subject:"Factor Models"

Shadow Rates as a Measure of the Monetary Policy Stance: Some International Evidence

Anderl, Christina; Caporale, Guglielmo Maria - 2022

This paper examines the usefulness of shadow rates to measure the monetary policy stance by comparing them to the official policy rates and those implied by three types of Taylor rules in both inflation targeting countries (the UK, Canada, Australia and New Zealand) and others that have only...

Persistent link: https://www.econbiz.de/10013353451

A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2022

A flexible predictive density combination model is introduced for large financial data sets which allows for dynamic weight learning and model set incompleteness. Dimension reduction procedures allocate the large sets of predictive densities and combination weights to relatively small sets....

Persistent link: https://www.econbiz.de/10013356469

A Flexible Predictive Density Combination for Large Financial Data Sets in Regular and Crisis Periods

Casarin, Roberto; Grassi, Stefano; Ravazzolo, Francesco; … - 2022

A flexible predictive density combination is introduced for large financial data sets which allows for model set incompleteness. Dimension reduction procedures that include learning allocate the large sets of predictive densities and combination weights to relatively small subsets. Given the...

Persistent link: https://www.econbiz.de/10013356509

Nowcasting the Maltese economy with a dynamic factor model

Ellul, Reuben; Ruisi, Germano - 2022

This paper describes a dynamic factor model for the Maltese economy. The model mainly serves as a tool to timely provide the Central Bank of Malta with nowcasts as well as short-term forecasts of the growth rate of the real gross domestic product, which in turn are used as an input in the...

Persistent link: https://www.econbiz.de/10013483516

Risk spillovers between global corporations and Latin American sovereigns: Global factors matter

Gómez González, José Eduardo; Uribe, Jorge; … - 2022

This paper studies volatility spillovers in credit default swaps (CDS) between the corporate sectors and Latin American countries. Daily data from October 14, 2006, to August 23, 2021, are employed. Spillovers are computed both for the raw data and for filtered series which factor out the effect...

Persistent link: https://www.econbiz.de/10014518295

Real-time nowcasting with sparse factor models

Hauber, Philipp - 2022

Factor models feature prominently in the macroeconomic nowcasting literature, yet no clear consensus has emerged …-selected variables can be found in the literature. To adress the issue of variable selection in factor models, in this paper we employ … factor models in real-time for US and German GDP point and density nowcasts. We find that sparse priors lead to relatively …

Persistent link: https://www.econbiz.de/10013166086

The Euro Area Government Spending Multiplier in Demand- and Supply-Driven Recessions

Di Serio, Mario; Fragetta, Matteo; Gasteiger, Emanuel; … - 2022

We estimate government spending multipliers in demand- and supply-driven recessions for the Euro Area. Multipliers in a moderately demand-driven recession are 2-3 times larger than in a moderately supply-driven recession, with the difference between multipliers being non-zero with very high...

Persistent link: https://www.econbiz.de/10013266643

Option characteristics as cross-sectional predictors

Neuhierl, Andreas; Tang, Xiaoxiao; Varneskov, Rasmus … - 2022

We provide the first comprehensive analysis of option information for pricing the cross-section of stock returns by jointly examining extensive sets of firm and option characteristics. Using portfolio sorts and high-dimensional methods, we show that certain option measures have significant...

Persistent link: https://www.econbiz.de/10013286018

Measuring uncertainty and its effects in a small open economy

Cabello, Miguel; Nivin, Rafael - 2022

In the aftermath of the 2008 Global Financial Crisis (GFC), scholars and policymakers turned their attention to the role of uncertainty in amplifying the effects of economic or financial shocks on economic activity. A growing literature has focused on addressing this question. Most works find...

Persistent link: https://www.econbiz.de/10014374441

Does financial integration impact performance of equity anomalies?

Sharma, Gagan; Sehgal, Sanjay; Mishra, Anil V. - In: Cogent Economics & Finance 10 (2022) 1, pp. 1-51

We examine prominent market anomalies and evaluate the efficacy of alternative asset pricing models under different financial integration settings. A financial integration index is developed for classifying 25 sample markets into high-, medium- and low integration groups. Size is found to be the...

Persistent link: https://www.econbiz.de/10015073984