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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 nonstationary 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/10012596987
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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 - In: The econometrics journal 25 (2022) 2, pp. 494-514
Persistent link: https://www.econbiz.de/10013253846
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Agnostic output gap estimation and decomposition in large cross-sections
Eckert, Florian; Sarferaz, Samad - 2019
equally in terms of parameter estimation. Based on this feature we show how to extract common trends and cycles from the data …
Persistent link: https://www.econbiz.de/10012137316
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Tests of Equal Accuracy for Nested Models with Estimated Factors
Gonçalves, Sílvia - 2019
-augmented regression models are used to forecast. We provide conditions under which the estimation of the factors does not affect the … factor estimation and apply the tests to the case of forecasting excess returns to the S&P 500 Composite Index …
Persistent link: https://www.econbiz.de/10012903921
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Tracking economic activity with alternative high-frequency data
Eckert, Florian; Kronenberg, Philipp; Mikosch, Heiner; … - 2020
Most macroeconomic indicators failed to capture the sharp economic fluctuations during the Corona crisis in a timely manner. Instead, alternative high-frequency data have been used, aiming to monitor the economic situation. However, these data are often only loosely related to the business cycle...
Persistent link: https://www.econbiz.de/10012395297
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Analyzing Commodity Futures Using Factor State-Space Models with Wishart Stochastic Volatility
Kleppe, Tore Selland - 2019
We propose a factor state-space approach with stochastic volatility to model and forecast the term structure of future contracts on commodities. Our approach builds upon the dynamic 3-factor Nelson-Siegel model and its 4-factor Svensson extension and assumes for the latent level, slope and...
Persistent link: https://www.econbiz.de/10012864217
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Dimensions of Macroeconomic Uncertainty : A Common Factor Analysis
Henzel, Steffen - 2014
Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which...
Persistent link: https://www.econbiz.de/10013045927
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Dimensions of macroeconomic uncertainty : a common factor analysis
Henzel, Steffen; Rengel, Malte - 2013
In the current literature uncertainty about the future course of the economy is identified as a possible driver of business cycle fluctuations. In fact, uncertainty surrounds the movements of all economic variables which gives rise to a monitoring problem. We identify the different dimensions of...
Persistent link: https://www.econbiz.de/10010188870
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Dimensions of macroeconomic uncertainty : a common factor analysis
Henzel, Steffen; Rengel, Malte - 2014
Uncertainty about the future course of the economy is a possible driver of aggregate fluctuations. To identify the different dimensions of uncertainty in the macroeconomy we construct a large dataset covering all types of economic uncertainty. We then identify two fundamental factors which...
Persistent link: https://www.econbiz.de/10010412767
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Long-run trends or short-run fluctuations : what establishes the correlation between oil and food prices? ; conference paper
Krätschell, Karoline; Schmidt, Torsten - 2013 - This version: July, 2012
In this paper we use the frequency domain Granger causality test of Breitung/Candelon (2006) to analyse short and long-run causality between energy prices and prices of food commodities. We find that the oil price Granger causes all the considered food prices. However, when controlling for...
Persistent link: https://www.econbiz.de/10010341671