Search Results - subject:"dynamic factor model"

Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective

Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2010

We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry-specific dynamics (including contagion). To quantify the contribution...

Persistent link: https://www.econbiz.de/10011379607

Depression econometrics: A FAVAR model of monetary policy during the Great Depression

Ahmadi, Pooyan Amir; Ritschl, Albrecht - 2009

The prominent role of monetary policy in the U.S. interwar depression has been conventional wisdom since Friedman and Schwartz [1963]. This paper presents evidence on both the surprise and the systematic components of monetary policy between 1929 and 1933. Doubts surrounding GDP estimates for...

Persistent link: https://www.econbiz.de/10010270715

International comovements, business cycle and inflation: A historical perspective

Mumtaz, Haroon; Simonelli, Saverio; Surico, Paolo - 2009

Using a dynamic factor model, we uncover four main empirical regularities on international comovements in a long …

Persistent link: https://www.econbiz.de/10010277877

Is more still better? Revisiting the sixth district coincident indicator

Silos, Pedro; Vilán, Diego - In: Economic Review 94 (2009)

Assessing the state of an economy is not an easy task and generally involves interpreting myriad and sometimes contradictory indicators. In 2007 the authors unveiled a dynamic common factor model, dubbed the D6 Factor, for the economy of the Sixth Federal Reserve District. This model combined...

Persistent link: https://www.econbiz.de/10010281867

Analyzing and Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore

Chow, Hwee Kwan; Choy, Keen Meng - School of Economics, Singapore Management University - 2009

A dynamic factor model is applied to a large panel dataset of Singapore’s macroeconomic variables and global economic …

Persistent link: https://www.econbiz.de/10004995259

The forecasting power of internal yield curve linkages

Modugno, Michele; Nikolaou, Kleopatra - European Central Bank - 2009

This paper investigates whether information from foreign yield curves helps forecast domestic yield curves out-of-sample. A nested methodology to forecast yield curves in domestic and international settings is applied on three major countries (the US, Germany and the UK). This novel methodology...

Persistent link: https://www.econbiz.de/10005002761

Another look at global disinflation

Sekine, Toshitaka - Bank for International Settlements (BIS) - 2009

This paper highlights relative price adjustments taking place in the global economy as important sources of the lower levels of inflation rates observed in the recent decades. Using a markup model, it shows substantial effects from declines in wage costs and import prices relative to consumer...

Persistent link: https://www.econbiz.de/10005012243

International Comovements, Business Cycle and Inflation: a Historical Perspective

Mumtaz, Haroon; Simonelli, Saverio; Surico, Paolo - Centro Studi di Economia e Finanza (CSEF) - 2009

Using a dynamic factor model, we uncover four main empirical regularities on international comovements in a long …

Persistent link: https://www.econbiz.de/10005061771

AGGREGATE SHOCKS DECOMPOSITION FOR EIGHT EAST ASIAN COUNTRIES

Lee, Grace H.Y. - Department of Econometrics and Business Statistics, … - 2009

allows the analysis at a disaggregated level using the dynamic factor model. This model allows the decomposition of aggregate … Decomposition; Dynamic Factor Model; Bayesian JEL codes: E3 1 E-mail address … involves the dynamic factor model with Markov switching. In their pioneering study, Burns and Mitchell (1946) established two …

Persistent link: https://www.econbiz.de/10005064163

Depression Econometrics: A FAVAR Model of Monetary Policy During the Great Depression

Ahmadi, Pooyan Amir; Ritschl, Albrecht - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

Persistent link: https://www.econbiz.de/10008527070