factor model. Going beyond previous work, we decompose aggregate credit components into credit supply and demand flows …We conceptualize global liquidity as global monetary policy and credit components by means of a large-scale dynamic …

/methodology/approach: To construct the aggregate cycle, a dynamic factor model is employed, based on credit aggregates and aggregate property …

method that uses a mixed-frequency dynamic factor model to constrain the weekly index to match the monthly MRTS. We use the …

volumes. Using a time-varying two-level dynamic factor model, we disentangle the relative importance of country-specific and …