Search Results - subject:"factor Models"

A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling

Bagliano, Fabio C.; Morana, Claudio - Collegio Carlo Alberto, Università degli Studi di Torino - 2006

In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson (2005), is introduced. Relative to the Stock-Watson approach, the proposed method has the advantage of allowing for a more clear-cut interpretation of the global factors, as well as for the...

Persistent link: https://www.econbiz.de/10005094070

How good are dynamic factor models at forecasting output and inflation? A meta-analytic approach

Ziegler, Christina; Eickmeier, Sandra - Deutsche Bundesbank - 2006

-analysis and contributes to the current debate on the determinants of the forecast performance of large-scale dynamic factor models … particular, factor models tend to outperform small-scale models, whereas they perform slightly worse than alternative methods … factor models are better suited to predict output at shorter forecast horizons than at longer horizons. These findings all …

Persistent link: https://www.econbiz.de/10005083176

Real-time forecasting of GDP based on a large factor model with monthly and quarterly data

Schumacher, Christian; Breitung, Jörg - Deutsche Bundesbank - 2006

This paper discusses a factor model for estimating monthly GDP using a large number of monthly and quarterly time series in real-time. To take into account the different periodicities of the data and missing observations at the end of the sample, the factors are estimated by applying an EM...

Persistent link: https://www.econbiz.de/10005083178

Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model

Eickmeier, Sandra - Deutsche Bundesbank - 2006

This paper seeks to assess comovements and heterogeneity in the euro area by fitting a nonstationary dynamic factor model (Bai and Ng, 2004), augmented with a structural factor setup (Forni and Reichlin, 1998), to a large set of euro-area macroeconomic variables observed between 1982 and 2003....

Persistent link: https://www.econbiz.de/10005083190

Comparing alternative predictors based on large-panel factor models

D’Agostino, Antonello; Giannone, Domenico - European Central Bank - 2006

This paper compares the predictive ability of the factor models of Stock and Watson (2002) and Forni, Hallin, Lippi …

Persistent link: https://www.econbiz.de/10005816246

Regional inflation dynamics within and across euro area countries and a comparison with the US

Beck, Günter W.; Hubrich, Kirstin; Marcellino, Massimiliano - European Central Bank - 2006

We investigate co-movements and heterogeneity in inflation dynamics of different regions within and across euro area countries using a novel disaggregate dataset to improve the understanding of inflation differentials in the European Monetary Union. We employ a model where regional inflation...

Persistent link: https://www.econbiz.de/10005816265

Forecasting Emerging Market Indicators: Brazil and Russia

Bystrov, Victor - Department of Economics, European University Institute - 2006

a few economic time series from the whole variety of data available to forecasters. Therefore dynamic factor models …

Persistent link: https://www.econbiz.de/10005557725

Banking integration and co-movements in EU banks’ fragility

Vulpes, Giuseppe; Brasili, Andrea - Volkswirtschaftliche Fakultät, … - 2006

The aim of this paper is to verify whether and to which extent co-movements in EU banks’ risk, i.e. their degree of exposures of European banks to common shocks, have increased in time, following the completion of Monetary Union, the introduction of the euro and the process of European banking...

Persistent link: https://www.econbiz.de/10005836113

Business cycle transmission from the euro area to CEECs

Eickmeier, Sandra; Breitung, Joerg - Society for Computational Economics - SCE - 2006

A high degree of cyclical synchronization between the new EU member states (NMS) from Central and Eastern Europe and the euro area is generally seen as a prerequisite for successful EMU enlargement. We establish stylized facts on economic linkages between NMS and the euro area using dynamic...

Persistent link: https://www.econbiz.de/10005342916

Regional Inflation Dynamics within and across Euro Area and a Comparison with the US

Beck, Guenter; Marcellino, Massimiliano - Society for Computational Economics - SCE - 2006

We investigate co-movements in inflation dynamics within and across euro area regions and find it important for monetary policy to monitor regional inflation dynamics to enhance the understanding of aggregate inflation. We employ a model where regional inflation dynamics are explained by common...

Persistent link: https://www.econbiz.de/10005342977