In this paper we study the least sqares (LS) estimator in a linear panel regression model with interactive fixed effects for asymptotics where both the number of time periods and the number of cross-sectional units go to infinity. Under appropriate assumptions we show that the limiting...

In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a large data set at quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden- Württemberg) and Eastern Germany. We overcome the problem of a...

We use Bayesian methods to estimate a multi-factor linear asset pricing model characterized by structural instability in factor loadings, idiosyncratic variances, and factor risk premia. We use such a framework to investigate the key differences in the pricing mechanism that applies to...

Incluye referencias bibliográficas ; Durante la última crisis, la relevancia de las primas de los Credit Default Swaps (en adelante, CDS) de las economías desarrolladas como herramienta para aproximar el riesgo de crédito ha ido en aumento. En este artículo se utiliza un modelo factorial...

This paper analyzes multifactor models in the presence of a large number of potential observable risk factors and unobservable common and group-specific pervasive factors. We show how relevant observable factors can be found from a large given set and how to determine the number of common and...

We analyse the generalized, dynamic Nelson-Siegel approach including five factors to ensures the absence of arbitrage. In contrast to previous empirical analyses we define our risk factors so that they are observable and determine their significance using a series of cross sectional regressions....

The paper describes the results of estimation of a factor-augmented vector autoregressive model that relates the markup on mortgage loans in national currency, granted to households by monetary financial institutions, and 1-month inter-bank rate that represents the cost of funds for financial...

In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a large data set at quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden- Württemberg) and Eastern Germany. We overcome the problem of a...