Search Results - subject:"dynamic factor model"

Business cycle synchronisation in East Asia

Moneta, Fabio; Rüffer, Rasmus - 2006

Against the background of the rapid inter- and intraregional integration of East Asia, we examine the extent and nature of synchronisation of business cycles in the region. We estimate various specifications of a dynamic common factor model for output growth of ten East Asian countries. A...

Persistent link: https://www.econbiz.de/10011604717

Business cycle synchronisation in East Asia

Moneta, Fabio; Rüffer, Rasmus - European Central Bank - 2006

Persistent link: https://www.econbiz.de/10005530732

Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis

Cipollini, Andrea; Kapetanios, George - Society for Computational Economics - SCE - 2006

In this paper we use a Dynamic Factor model to retrieve vulnerability indicators able to predict financial turmoil. A … events aÂ®ecting a number of East Asian countries during the 1997-1998 period. The Dynamic factor model improves upon a …

Persistent link: https://www.econbiz.de/10005537458

An Empirical Analysis of Price Stickiness and Price Revision Behavior in Japan Using Micro CPI Data

Sonoda, Katsurako - Bank of Japan - 2006

this question, this paper applies a Generalized Dynamic Factor Model to individual CPI item data to examine if it is …

Persistent link: https://www.econbiz.de/10010907510

A generalised dynamic factor model for the Belgian economy - Useful business cycle indicators and GDP growth forecasts

Nieuwenhuyze, Christophe Van - Nationale Bank van België/Banque national de Belqique (BNB) - 2006

statistical framework used is the One-sided Generalised Dynamic Factor Model developed by Forni, Hallin, Lippi and Reichlin (2005 …

Persistent link: https://www.econbiz.de/10005031947

Driving Forces of Inflation in New EU Countries (in English)

STAVREV, Emil - In: Czech Journal of Economics and Finance (Finance a uver) 56 (2006) 5-6, pp. 246-257

generalized dynamic-factor model (GDFM) developed by Forni et al. the impact of various macroeconomic variables on inflation is …

Persistent link: https://www.econbiz.de/10005698620

A dynamic factor analysis of business cycle on firm-level data

Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2006

We use the Generalized Dynamic Factor Model proposed by Forni et al. [2000] in order to study the dynamics of the rate … Studies, Pisa October 2006 Abstract We use the Generalized Dynamic Factor Model proposed by Forni et al. [2000] in order to … the work by Forni and Reichlin [1998], who apply a dynamic factor model àlaSargent and Sims [1977] for studying the …

Persistent link: https://www.econbiz.de/10003376249

A generalised dynamic factor model for the Belgian economy : useful business cycle indicators and GDP growth forecasts

Van Nieuwenhuyze, Christophe - 2006

statistical framework used is the One-sided Generalised Dynamic Factor Model developed by Forni, Hallin, Lippi and Reichlin (2005 …

Persistent link: https://www.econbiz.de/10003343540

Does realized volatility help bond yield density prediction?

Shin, Minchul; Zhong, Molin - Department of Economics, University of Pennsylvania - 2013

This paper examines the importance of realized volatility in bond yield density prediction. We incorporate realized volatility into a Dynamic Nelson-Siegel (DNS) model with stochastic volatility and evaluate its predictive performance on US bond yield data. When compared to popular...

Persistent link: https://www.econbiz.de/10010822928

International transmission of financial stress: evidence from a GVAR

Dovern, Jonas; Roye, Björn van - Institut für Weltwirtschaft (IfW) - 2013

We analyze the international transmission of financial stress and its effects on economic activity. We construct country specific monthly financial stress indexes (FSI) using dynamic factor models from 1970 until 2012 for 20 countries. We show that there is a strong co-movement of the FSI during...

Persistent link: https://www.econbiz.de/10010886840