This paper introduces a two-factor model of leading and coincident economic indicators. The common leading factor is assumed to Granger-cause the common coincident factor. This property is used to estimate the two common factors simultaneously and hence more efficiently. Two models of the latent...

A bifactor model of the unobserved common leading and coincident indicators with Markov switching, introduced via the common factor intercept term, is examined. The model has four regimes and the lag between the leading and coincident factors is reflected in transition probabilities matrix....

Das Platzen von spekulativen Preisblasen an den Immobilienmärkten führt oft zu realwirtschaftlichen Verwerfungen, die mit hohen Produktions- und Beschäftigungsverlusten verbunden sind. In diesem Beitrag wird diskutiert, inwieweit institutionelle Rahmenbedingungen das Entstehen und die...