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Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices

Submitter, FEEM RPS; Casoli, Chiara; Lucchetti, Riccardo - 2021

In this article, we propose a cointegration-based Permanent-Transitory decomposition for non-stationary 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/10013219376

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

Permanent-Transitory decomposition of cointegrated time series via Dynamic Factor Models, with an application to commodity prices

Casoli, Chiara; Lucchetti, Riccardo - 2021

Persistent link: https://www.econbiz.de/10012605977

Remittances in Mexico and their unobserved components

Corona, Francisco; Orraca, Pedro - In: Journal of international trade & economic development : … 28 (2019) 8, pp. 1047-1066

Persistent link: https://www.econbiz.de/10012203679

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

Global financial cycles since 1880

Potjagailo, Galina; Wolters, Maik H. - 2019

We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and...

Persistent link: https://www.econbiz.de/10011987786

Global financial cycles since 1880

Potjagailo, Galina; Wolters, Maik H. - 2019

The authors analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, they analyze the dynamics of co-movement and compare recent...

Persistent link: https://www.econbiz.de/10011992406

The evolution of commodity trios prices and causality equation : in structural break perspective

Pala, Aynur - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 2, pp. 335-340

Persistent link: https://www.econbiz.de/10014496302

Common factors, trends, and cycles in large datasets

Barigozzi, Matteo; Luciani, Matteo - 2017

This paper considers a non-stationary dynamic factor model for large datasets to disentangle long-run from short-run co-movements. We first propose a new Quasi Maximum Likelihood estimator of the model based on the Kalman Smoother and the Expectation Maximisation algorithm. The asymptotic...

Persistent link: https://www.econbiz.de/10011803273

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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