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Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices
Casoli, Chiara; Lucchetti, Riccardo - 2021
In this article, we propose a cointegration-based Permanent-Transitory decomposition for non-stationary Dynamic Factor … Models. Our methodology exploits the cointegration relations among the observable variables and assumes they are driven by a …-term stationary one. A Monte Carlo experiment shows that taking into account the cointegration structure in the DFM leads to a much …
Persistent link: https://www.econbiz.de/10012605977
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Forecasting the Estonian rate of inflation using factor models
Reigl, Nicolas - In: Baltic Journal of Economics 17 (2017) 2, pp. 152-189
The paper presents forecasts of headline and core inflation in Estonia with factor models in a recursive pseudo out-of-sample framework. The factors are constructed with a principal component analysis and are then incorporated into vector autoregressive (VAR) forecasting models. The analyses...
Persistent link: https://www.econbiz.de/10011868520
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Monetary Policy, Global Liquidity and Commodity Price Dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - 2010
This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling...
Persistent link: https://www.econbiz.de/10010269974
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Monetary policy, global liquidity and commodity price dynamics
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - 2010
This paper examines the interactions between money, interest rates, goods and commodity prices at a global level. For this purpose, we aggregate data for major OECD countries and follow the Johansen/Juselius cointegrated VAR approach. Our empirical model supports the view that, when controlling...
Persistent link: https://www.econbiz.de/10010271369
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Generalized Measurement Invariance Tests with Application to Factor Analysis
Merkle, Edgar C.; Zeileis, Achim - 2011
The issue of measurement invariance commonly arises in factor-analytic contexts, with methods for assessment including likelihood ratio tests, Lagrange multiplier tests, and Wald tests. These tests all require advance definition of the number of groups, group membership, and offending model...
Persistent link: https://www.econbiz.de/10010294761
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Cointegration analysis with mixed-frequency data
Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2007
maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …
Persistent link: https://www.econbiz.de/10010264085
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Global Liquidity and Commodity Prices – A Cointegrated VAR Approach for OECD Countries
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - 2009
This paper examines the interactions between money, consumer prices and commodity prices at a global level from 1970 to 2008. Using aggregated data for major OECD countries and a cointegrating VAR framework, we are able to establish long run and short run relationships among these variables...
Persistent link: https://www.econbiz.de/10010265799
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Global liquidity and commodity prices: a cointegrated VAR approach for OECD countries
Belke, Ansgar; Bordon, Ingo G.; Hendricks, Torben W. - 2009
This paper examines the interactions between money, consumer prices and commodity prices at a global level from 1970 to 2008. Using aggregated data for major OECD countries and a cointegrating VAR framework, we are able to establish long run and short run relationships among these variables...
Persistent link: https://www.econbiz.de/10010271111
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The three co’s to jointly model commodity markets: co-production, co-consumption and co-trading
Schischke, Amelie; Papenfuß, Patric; Rathgeber, Andreas - In: Empirical Economics 66 (2023) 2, pp. 883-925
In this study, we develop a framework, based on a global vector autoregression (GVAR) model, to unite two perspectives on commodity markets, the commodity-specific, single-market-centered approach, investigating the micro- and macroeconomic drivers of commodity prices, and the market...
Persistent link: https://www.econbiz.de/10015191387
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A weekly structural VAR model of the US crude oil market
Valenti, Daniele; Bastianin, Andrea; Manera, Matteo - 2022
We present a weekly structural Vector Autoregressive (VAR) model of the US crude oil market. Exploiting weekly data we can explain short-run crude oil price dynamics, including those related with the COVID-19 pandemic and with the Russia’s invasion of Ukraine. The model is set identified with...
Persistent link: https://www.econbiz.de/10013353581