On these current days, the world’s economic map is dominated by clusters or economic groupings, present in almost all geographical levels, which have demonstrated to be critical masses with an unusual success on specific fields. Such clusters are groupings of firms and related institutions...

In this paper we apply a dynamic factor model to generate out of sample forecasts for the inflation rate in Mexico. We evaluate the role of using a wide range of macroeconomic variables with particular interest on the importance of using CPI disaggregated data to forecast inflation. Our data set...

The main objective of this paper is to analyze the behavior of the term structure of the WTI futures market between 2002 and 2009, period known by a sustained price rise followed by a price slump and again by a new price rise. To achieve this goal, we use Principal Component Analysis (PCA) to...

Parliamentary election outcomes have recently shifted significantly in some small open economies with high living standards. As regional differences widened, this study goes down to the regional level and investigates whether or not regional factors have been driving the election outcomes. An...

In this paper, we investigate whether the Google search activity can help in nowcasting the year-on-year growth rates of monthly US private consumption using a real-time data set. The Google-based forecasts are compared to those based on a benchmark AR(1) model and the models including the...

The paper studies large-dimention factor models with nonstationary factors and allows for deterministic trends and factors integrated of order higher then one.We follow the model speci.cation of Bai (2004) and derive the convergence rates and the limiting distributions of estimated factors,...

In this paper, we investigate whether the Google search activity can help in nowcasting the year-on-year growth rates of monthly US private consumption using a real-time data set. The Google-based forecasts are compared to those based on a benchmark AR(1) model and the models including the...

Standard consumption-based asset pricing models focus on the consumption risk, seen as the only source of fluctuations and information about risk for the informed investor. These models, however, can account for high expected excess stock return only when assuming implausible relative risk...