Search Results - subject:"dynamic factor model"

The dynamic spillover effects of macroeconomic and financial uncertainty on commodity markets uncertainties

Ben Haddad, Hedi; Mezghani, Imed; Gouider, Abdessalem - In: Economies : open access journal 9 (2021) 2, pp. 1-22

The present paper has two main objectives: first, to accurately estimate commodity price uncertainty; and second to analyze the uncertainty connectedness among commodity markets and the macroeconomic uncertainty, using the time-varying vector-autoregressive (TVP-VAR) model. We use eight main...

Persistent link: https://www.econbiz.de/10012548331

Housing demand shocks and households' balance sheets

Anderes, Marc - 2021

implied by our structural dynamic factor model. A historical decomposition suggests that housing demand shocks have largely …

Persistent link: https://www.econbiz.de/10012431593

Nowcasting Swedish GDP growth

Ankargren, Sebastian; Lindholm, Unn - 2021

Persistent link: https://www.econbiz.de/10012436898

Daily news sentiment and monthly surveys : a mixed-frequencydynamic factor model for nowcasting consumer confidence

Algaba, Andres; Borms, Samuel; Boudt, Kris; Verbeken, Brecht - 2021

sentiment in the dynamic factor model for nowcasting consumer confidence. …-based consumer confidence and daily sentiment embedded in economic media news articles. The proposed mixed-frequency dynamic factor … model framework uses a novel covariance matrix specification. Model estimation and real-time filtering of the latent …

Persistent link: https://www.econbiz.de/10012437743

Weekly economic activity: measurement and informational content

Wegmüller, Philipp; Glocker, Christian; Guggia, Valentino - Schweiz / Staatssekretariat für Wirtschaft - 2021 - This version: March 31, 2021

Persistent link: https://www.econbiz.de/10012507483

Weekly economic activity: measurement and informational content

Wegmüller, Philipp; Glocker, Christian; Guggia, Valentino - 2021 - This version: April 1, 2021

We construct a composite index to measure real activity of the Swiss economy on a weekly frequency. The index is based on a novel high-frequency data-set capturing economic activity across distinct dimensions over a long-time horizon. An adequate adjustment of raw data prior to deriving the...

Persistent link: https://www.econbiz.de/10012511470

Vector autoregressions with dynamic factor coefficients and conditionally heteroskedastic errors

Gorgi, Paolo; Koopman, Siem Jan; Schaumburg, Julia - 2021

We introduce a new and general methodology for analyzing vector autoregressive models with time-varying coefficient matrices and conditionally heteroskedastic disturbances. Our proposed method is able to jointly treat a dynamic latent factor model for the autoregressive coefficient matrices and...

Persistent link: https://www.econbiz.de/10012591572

Club convergence in EU countries : a sectoral perspective

Cavallaro, Eleonora; Villani, Ilaria - In: Journal of economic integration : jei 36 (2021) 1, pp. 125-161

Persistent link: https://www.econbiz.de/10012593277

Labor market indicator for Colombia

Cristiano-Botia, Deicy J.; Hernandez-Bejarano, Manuel Dario - In: Latin American economic review : LAER ; official … 30 (2021), pp. 1-32

Although the unemployment rate is traditionally used to diagnose the current state of the labor market, this indicator does not reflect the existence of asymmetries, mobility costs, and rigidities which impede labor to freely flow over the business cycle. Thus, to get a better portrait of the...

Persistent link: https://www.econbiz.de/10012594304

Determinants of pre-pandemic demand for the IMF’s concessional financing

Hills, Timothy; Nguyen, Huy; Sab, Randa - 2021

This study focuses on identifying the main factors that influenced country-specific and aggregate demand for IMF concessional financing between 1986 and 2018 and makes within-period and out-of-period forecasts. We find that the external debt level, inflation, and real effective exchange rate are...

Persistent link: https://www.econbiz.de/10012487316