Search Results - subject:"Generalized dynamic factor model"

Berger, Helge; Harjes, Thomas; Stavrev, Emil - 2008

Monetary aggregates continue to play an important role in the ECB's policy strategy. This paper revisits the case for money, surveying the ongoing theoretical and empirical debate. The key conclusion is that an exclusive focus on non-monetary factors alone may leave the ECB with an incomplete...

Persistent link: https://www.econbiz.de/10010299145

The ECB's monetary analysis revisited

Berger, Helge; Harjes, Thomas; Stavrev, Emil - Fachbereich Wirtschaftswissenschaft, Freie Universität … - 2008

Persistent link: https://www.econbiz.de/10008533641

A framework for tracking changes in the intensity of investment funds systemic risk

Jin, Xisong; Nadal-De Simone, Francisco - In: Journal of empirical finance 29 (2014), pp. 343-368

Persistent link: https://www.econbiz.de/10011300458

Banking systemic vulnerabilities : a tail-risk dynamic CIMDO approach

Jin, Xisong; Nadal-De Simone, Francisco - In: Journal of financial stability 14 (2014), pp. 81-101

Persistent link: https://www.econbiz.de/10011302103

Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach

Jin, Xisong; Nadal De Simone, Francisco de A. - In: Journal of Financial Stability 14 (2014) C, pp. 81-101

dynamic factor model (GDFM) supplemented by a dynamic t-copula. The framework models banks’ default dependence explicitly and … credit risk model with the consistent information multivariate density optimization (CIMDO) methodology and the generalized …

Persistent link: https://www.econbiz.de/10011076939

A framework for tracking changes in the intensity of investment funds' systemic risk

Jin, Xisong; Nadal De Simone, Francisco - In: Journal of Empirical Finance 29 (2014) C, pp. 343-368

and the generalized dynamic factor model (GDFM). The framework models investment funds' distress dependence explicitly and …

Persistent link: https://www.econbiz.de/10011116265

Driving Forces of Inflation in New EU Countries (in English)

STAVREV, Emil - In: Czech Journal of Economics and Finance (Finance a uver) 56 (2006) 5-6, pp. 246-257

generalized dynamic-factor model (GDFM) developed by Forni et al. the impact of various macroeconomic variables on inflation is …

Persistent link: https://www.econbiz.de/10005698620

A dynamic factor analysis of business cycle on firm-level data

Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2006

We use the Generalized Dynamic Factor Model proposed by Forni et al. [2000] in order to study the dynamics of the rate … Studies, Pisa October 2006 Abstract We use the Generalized Dynamic Factor Model proposed by Forni et al. [2000] in order to … Generalized Dynamic Factor Model (GDFM) by Forni et al. [2000], which allows for a limited amount of cross-sectional correlation …

Persistent link: https://www.econbiz.de/10003376249

An Empirical Analysis of Price Stickiness and Price Revision Behavior in Japan Using Micro CPI Data

Sonoda, Katsurako - Bank of Japan - 2006

this question, this paper applies a Generalized Dynamic Factor Model to individual CPI item data to examine if it is …

Persistent link: https://www.econbiz.de/10010907510

Yet another lagging, coincident and leading index for the Colombian economy.

IRAGORRI, Carlos Alberto CASTRO - DEPARTAMENTO NACIONAL DE PLANEACIÓN - 2003

and the characteristics of the business cycle. The author uses the statistical framework known as the generalized dynamic … factor model (Forni, Lippi, Hallin, Reichlin, 2000) to build a lagging, coincident, and leading quarterly index for Colombian …

Persistent link: https://www.econbiz.de/10005768294