Similar Search Results

Business cycle dynamics after the Great Recession : an extended Markov-Switching dynamic factor model

Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020

need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility … Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First …, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility …

Persistent link: https://www.econbiz.de/10012227436

Essays on business cycle analysis and demography

Sarferaz, Samad - 2009

Persistent link: https://www.econbiz.de/10008811071

Business cycle dynamics after the Great Recession : an extended Markov-Switching Dynamic Factor Model

Doz, Catherine; Ferrara, Laurent; Pionnier, Pierre-Alain - 2020

Persistent link: https://www.econbiz.de/10012244551

Markov-Switching Dynamic Factor Models in Real Time

Camacho, Maximo - 2012

We extend the Markov-switching dynamic factor model to account for some of the specifi cities of the day-to-day monitoring of economic developments from macroeconomic indicators, such as ragged edges and mixed frequencies. We examine the theoretical benefi ts of this extension and corroborate...

Persistent link: https://www.econbiz.de/10013110914

Dissecting the financial cycle with dynamic factor models

Menden, Christian; Proano, Christian - 2017

The analysis of the financial cycle and its interaction with the macroeconomy has become a central issue for the design of macroprudential policy since the 2007-08 financial crisis. This paper proposes the construction of financial cycle measures for the US based on a large data set of...

Persistent link: https://www.econbiz.de/10011663432

Dissecting the financial cycle with dynamic factor models

Menden, Christian; Proano, Christian - 2017

Finanzzyklusmaßgrößen für die USA vor. Diese basieren auf einem großen Datensatz makroökonomischer und finanzieller Variablen. Im Detail …

Persistent link: https://www.econbiz.de/10011710012

Nowcasting Business Cycles : A Bayesian Approach to Dynamic Heterogeneous Factor Models

D'Agostino, Antonello - 2015

We develop a framework for measuring and monitoring business cycles in real time. Following a long tradition in macroeconometrics, inference is based on a variety of indicators of economic activity, treated as imperfect measures of an underlying index of business cycle conditions. We extend...

Persistent link: https://www.econbiz.de/10013016899

Dynamic factor rotation strategy : a business cycle approach

Kwon, Dohyoung - In: International Journal of Financial Studies : open … 10 (2022) 2, pp. 1-12

This study developed an investment framework to implement dynamic factor rotation strategies according to changes in economic conditions. I constructed a useful macro indicator that tracked real-time business cycles of the US economy and applied a trend-filtering method to the indicator to...

Persistent link: https://www.econbiz.de/10013368326

Estimating Large-Scale Factor Models for Economic Activity In Germany : Do They Outperform Simpler Models?

Schumacher, Christian; Dreger, Christian - 2003

This paper discusses a large-scale factor model for the German economy. Following the recent literature, a data set of 121 time series is used via principal component analysis to determine the factors, which enter a dynamic model for German GDP. The model is compared with alternative univariate...

Persistent link: https://www.econbiz.de/10014107530

Measuring foreign impact : leading index construction using hierarchical dynamic factor model

Reklaite, Agne - In: Baltic journal of economics 16 (2016) 1, pp. 21-32

In this paper a new method of constructing the leading economic index is presented. Its main advantage is the ability to distinguish domestic and foreign factors influencing the growth of economy and it is performed via dynamic hierarchical factor modelling. An application is carried out with...

Persistent link: https://www.econbiz.de/10011890861