Search Results - subject:"dynamic factor model"

Desarrollo financiero y crecimiento económico en América del Norte

Anguiano-Pita, Javier Emmanuel; Ruiz-Porras, Antonio - In: Revista finanzas y política económica 12 (2020) 1, pp. 165-199

Persistent link: https://www.econbiz.de/10012630922

Business cycle dynamics after the Great Recession : an extended Markov-Switching Dynamic Factor Model

Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020

Persistent link: https://www.econbiz.de/10012244551

The credit composition of global liquidity

Herwartz, Helmut; Ochsner, Christian; Rohloff, Hannes - 2020

factor model in the spirit of Eickmeier,Gambacorta, and Hofmann (2014). Going beyond previous work, we decompose aggregate …We conceptualize global liquidity as global monetary policy and credit components by means of a large-scale dynamic …

Persistent link: https://www.econbiz.de/10012318308

Macroeconometric forecasting using a cluster of dynamic factor models

Glocker, Christian; Kaniovski, Serguei - 2020

We propose a modelling approach involving a series of small-scale factor models. They are connected to each other within a cluster, whose linkages are derived from Granger-causality tests. GDP forecasts are established across the production, income and expenditure accounts within a disaggregated...

Persistent link: https://www.econbiz.de/10012319589