This Paper reviews recent econometric work on factor models in large cross-sections of time series. In this literature, traditional factor analysis is adapted to develop parsimonious estimation methods for high dimension time series models. The review covers problems of consistency and rates –...

We study the role of domestic and global factors on payoffs of portfolios built to mimic carry, dollar carry and momentum strategies. We construct domestic and global factors from a large dataset of macroeconomic and financial variables and find that global equity market factors render strong...

This paper develops a method to analyse large cross-sections with non-trivial time dimensions. The method: (i) identifies the number of common shocks in a factor analytic model; (ii) estimates the unobserved common dynamic component; (iii) shows how to test for fundamentality of the common...

This paper analyses output and productivity for 450 US industries from 1958 to 1986. We make the following contributions. (i) We develop a method based on dynamic principal components to identify the number of common shocks to our data set. (ii) We propose a simple method for the estimation of...

New-Keynesian models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation methods have several drawbacks, including possible lack of...

We propose a comprehensive methodology to characterize the business cycle comovements across European economies and some industrialized countries, always trying to ‘let the data speak’. Out of this framework, we propose a novel method to show that there is no ‘Euro economy’ that acts as...

This paper analyses the changes to the tax and social security systems that have occurred since Czechoslovakia's `velvet revolution' in 1989. It shows how the tax system is moving to meet the requirements of a market economy. It suggests that a particularly high priority has to be given to...

The regional distribution of unemployment rates in the Czech Republic during the transition period is shown to be characterised by twin peaks, i.e. a high and a low unemployment equilibrium. The emergence of strong regional disparities at the beginning of the 1990s can, at least partially, be...

Using micro data on women in the Czech Republic, we compare returns to various measures of human capital at the end of communism (1989), in mid-transition (1996) and in late/post-transition (2002). We show: dramatic increases in returns to education from 1989 to 1996 but no change from 1996 to 2002;...

We analyse investment behaviour of the population of medium and large industrial firms located in the Czech Republic in 1992–5. We examine the relevance of alternative models of investment and test if investment behaviour varies across ownership-legal form categories of firms. By using a large...