The process of deregulation and reforms in the Indian banking system resulted in the creation of an efficient and competitive banking system. The payment systems like cardbased payment systems, ECS, EFT, RTGS, NEFT and CTS have offered a variety of services to the customers. During the last...

In recent years, factor models have received increasing attention from both econometricians and practitioners in the forecasting of macroeconomic variables. In this context, Bai and Ng (2008) find an improvement in selecting indicators according to the forecast variable prior to factor...

The predictability of the equity risk premium is a central and controversial issue in finance. The Risk Premium Factor model is a recent and novel approach to forecasting the equity risk premium and the equity market's level and P/E. This article aims to overcome the main limitation of, and...

The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman filter), which identify an unobservable common factor from a group of external and...

This paper applies the single-index dynamic factor model developed by Stock and Watson (1991) to construct current-quarter estimates of economic activity in Hong Kong. The Hang Seng index, a residential property price index, retail sales and total exports are used as coincident indicators....

This paper uses factor analytic methods to decompose industrial production (IP) into components arising from aggregate shocks and idiosyncratic sector-specific shocks. An approximate factor model finds that nearly all (90%) of the variability of quarterly growth rates in IP are associated with...

We propose a dynamic factor model for mixed-measurement and mixed-frequency panel data. In this framework time series observations may come from a range of families of parametric distributions, may be observed at different time frequencies, may have missing observations, and may exhibit common...

Traditional studies of the Dutch disease do not typically account for productivity spillovers between the booming energy sector and non-oil sectors. This study identifies and quantifies these spillovers using a Bayesian Dynamic Factor Model (BDFM). The model allows for resource movements and...

Equity analysts conceptualize the Fama-French framework as a tool for studying the size and value characteristics of equity portfolios along with the market return. But the market return is not the return to market beta. In fact, commercial providers of equity risk models typically include both...

We develop tests for structural breaks of factor loadings in dynamic factor models. We focus on the joint null hypothesis that all factor loadings are constant over time. Because the number of factor loading parameters goes to infinity as the sample size grows, conventional tests cannot be used....