Search Results - subject:"dynamic factor model"

Tracking Chinese CPI inflation in real time

Funke, Michael; Mehrotra, Aaron; Yu, Hao - 2011

With recovery from the global financial crisis in 2009 and 2010, inflation emerged as a major concern for many central banks in emerging Asia. We use data observed at mixed frequencies to estimate the movement of Chinese headline inflation within the framework of a state-space model, and then...

Persistent link: https://www.econbiz.de/10012148654

Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk

Creal, Drew; Schwaab, Bernd; Koopman, Siem Jan; Lucas, Andre - Tinbergen Instituut - 2011

This paper has been accepted for publication in the 'Review of Economics and Statistics'.We propose a dynamic factor … model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range …

Persistent link: https://www.econbiz.de/10011257450

Forecasting economic growth in the euro area during the Great Moderation and the Great Recession

Lombardi, Marco J.; Maier, Philipp - 2011

approaches: a simple PMI model based on Purchasing Managers’ Indices (PMIs), a dynamic factor model with euro area data, and a … dynamic factor model with data from the euro plus data from national economies (pseudo-real time data). We estimate backcasts … dynamic factor model tends to outperform the PMI model (at times by a wide margin). However, accuracy of the dynamic factor …

Persistent link: https://www.econbiz.de/10011605425

SOME CONVERGENCE RESULTS ON DYNAMIC FACTOR MODELS

CAVICCHIOLI, Maddalena - In: Theoretical and Practical Research in Economic Fields II (2011) 2, pp. 120-131

We review some recent papers on a large dynamic factor model (LDFM) and its applications to structural macroeconomic …

Persistent link: https://www.econbiz.de/10009653229

The Euro-Sting revisited: PMI versus ESI to obtain euro area GDP forecasts

Camacho, Maximo; Garcia-Serrador, Agustin - BBVA Research, Grupo BBVA - 2011

This paper uses an extension of the Euro-Sting single-index dynamic factor model to construct short-term forecasts of …

Persistent link: https://www.econbiz.de/10009195401

Yield Curve Dynamics - Regional Common Factor Model

Šopov, Boril; Seidler, Jakub - In: Prague Economic Papers 2011 (2011) 2, pp. 140-156

In this paper, we focus on thorough yield curve modelling. We build on extended classical Nelson-Siegel model, which we further develop to accommodate unobserved regional common factors. We centre our discussion on Central European currencies´ yield curves: CZK, HUF, PLN and SKK. We propose a...

Persistent link: https://www.econbiz.de/10009203504

Forecasting economic growth in the euro area during the Great Moderation and the Great Recession

Lombardi, Marco J.; Maier, Philipp - European Central Bank - 2011

Persistent link: https://www.econbiz.de/10009293720

How do banks' funding costs affect interest margins?

Raknerud, Arvid; Vatne, Bjørn Helge; Rakkestad, Ketil - Statistisk Sentralbyrå, Government of Norway - 2011

We use a dynamic factor model and a detailed panel data set with quarterly accounts data on all Norwegian banks to …

Persistent link: https://www.econbiz.de/10009319262

Tracking Chinese CPI inflation in real time

Funke, Michael; Yu, Hao; Mehrota, Aaron - Institut für Makroökonomie und Wirtschaftspolitik, … - 2011

Persistent link: https://www.econbiz.de/10010559456

Forecasting Based on Common Trends in Mixed Frequency Samples

Fuleky, Peter; Bonham, Carl S. - Department of Economics, University of Hawaii-Manoa - 2011

We extend the existing literature on small mixed frequency single factor models by allowing for multiple factors, considering indicators in levels, and allowing for cointegration among the indicators. We capture the cointegrating relationships among the indicators by common factors modeled as...

Persistent link: https://www.econbiz.de/10009321242