This paper surveys existing factor forecast applications for real economic activity and inflation by means of a meta-analysis and contributes to the current debate on the determinants of the forecast performance of large-scale dynamic factor models relative to other models. We find that, on...

This paper uses a meta-analysis to survey existing factor forecast applications for output and inflation and assesses what causes large factor models to perform better or more poorly at forecasting than other models. Our results suggest that factor models tend to outperform small models, whereas...

This paper surveys existing factor forecast applications for output and inflation by means of a meta-analysis and assesses the determinants of the forecast performance of large factor models relative to other models. Our results suggest that factor models tend to outperform small models, whereas...

We explore the concept of global liquidity based on a factor model estimated using a large set of financial and macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common global factors in the dynamics of liquidity...

We examine how the occurrence of natural disasters impact the US economy and financial markets using monthly data since 2000. Our analysis reveals large sustained adverse effects of disasters on overall economic activity, with significant implications across various sectors including labor,...

We study how credit supply shocks in the US, the euro area and Japan are transmitted to other economies. We use the recently-developed GVAR approach to model financial variables jointly with macroeconomic variables in 33 countries for the period 1983-2009. We experiment with inter-country links...