We measure the time-varying strength of macrofinancial linkages within and across the US and euro area economies by relying on factor models with drifting parameters, where real and financial cycles are extracted and shocks are identified via sign and exclusion restrictions. The main results...

We develop a new dynamic factor model that allows us to jointly characterize global macroeconomic and financial cycles and the spillovers between them. The model decomposes macroeconomic cycles into the part driven by global and country-specific macro factors and the part driven by spillovers...

En este trabajo se estudia la evolución del grado de interconexiones macrofinancieras, tanto dentro de las economías de Estados Unidos y de la zona del euro como entre ellas. Para esto, el estudio se basa en modelos de factores dinámicos con parámetros cambiantes en el tiempo, los cuales se...

Este artículo desarrolla un indicador novedoso del ciclo de comercio mundial (WTI) mediante un modelo de factores dinámicos, con el objetivo de predecir el crecimiento del comercio mundial de bienes y servicios (generalmente, obviados) en el corto plazo. La selección de indicadores de...

We propose a dynamic factor model which we use to analyze the relationship between education participation and national unemployment, as well as to forecast the number of students across the many different types of education. By clustering the factor loadings associated with the dynamic...

We develop a new dynamic factor model that allows us to jointly characterize global macroeconomic and financial cycles and the spillovers between them. The model decomposes macroeconomic cycles into the part driven by global and country-specific macro factors and the part driven by spillovers...