A high degree of cyclical synchronization between central and east European countries (CEECs) and the euro area is generally seen as a prerequisite for successful EMU enlargement. This paper investigates comovements between CEECs and the euro area. We first establish stylized facts on economic...

From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks....

Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an...

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...

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and...

This paper proposes a new framework for studying the effects of monetary policy on business investment. Important ambiguities with the modeling of investment dynamics and interactions between real and financial decisions suggest modeling investment spending as a VAR. Based on a panel of...

A distinguishing feature of the ECB's monetary policy setup is the preannouncement of a minimum bid rate in its weekly repo auctions. However, whenever interest rates are expected to decline, the minimum bid rate is viewed as too high and banks refrain from bidding, severely impeding the ECB's...

In this paper we rely on techniques recently developed by Bai and Ng (2004a) to estimate common euro-area stationary and non-stationary factors using a large-scale dynamic factor model. We find that euro-area economies share four non-stationary factors or trends and one stationary factor. By...

This paper investigates the transmission of US macroeconomic shocks to Germany by employing a large-dimensional structural dynamic factor model. This framework allows us to investigate many transmission channels simultaneously, including 'new' channels like stock markets, foreign direct...

Die vorliegende Arbeit untersucht, wie sich Angebots-, Nachfrage- und geldpolitische Schocks aus den Vereinigten Staaten auf Deutschland übertragen. Dabei wird ein so genanntes factor-augmented vector autoregressive model (FAVAR) auf einen neu zusammengestellten Datensatz mit mehr als 200...