Search Results - subject_exact:"Principal component analysis"

Making sense of labor-market indicators amid data imperfections

Brave, Scott A.; Crust, Erin E.; Eusepi, Stefano; … - 2026

Interpreting real-time labor market conditions is challenging because commonly used indicators are noisy, revised over time, and often send conflicting signals. In practice, policymakers and market participants describe labor market developments using a shared narrative language centered on...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647170

Spatial pattern regression for gridded meteorological data : a precipitation and temperature case study

Houssou, Vihotogbé; Carreau, Julie - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015440667

Eigenvalue tests for the number of latent factors in short panels

Fortin, Alain-Philippe; Gagliardini, Patrick; Scaillet, … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015339146

Asymmetric roles of macroeconomic variables in the real exchange rate : insights from U.S.-Korea data

Behera, Sarthak; Kim, Hyeongwoo; Kim, Soohyon - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015641813

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Asymmetric roles of macroeconomic variables in the real exchange rate : insights from U.S.-Korea data

Behera, Sarthak; Kim, Hyeongwoo; Kim, Soohyon - 2025

Book / Working Paper

Constructing a financial conditions index for Zambia

Musonda, Gabriel; Mwananshiku, Christabel; Wakumelo, Mataa - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015417917

Performance of pairs trading strategies based on principal component analysis methods

Sun, Yufei - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015455223

Simultaneous nowcasting of Netherlands' macroeconomic trends and seasonal patterns based on Fourier analysis

Pijpers, Frank P.; Harlaar, Lucas; Brakel, Jan A. van den; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408522

Life is more satisfying when evaluated as a whole : a principal component analysis of Mexicans' subjective well-being

Martínez-Sermen̄o, Flor; Sheargren, Powell; Rivera, Rafael - 2025

For decades, there has been consensus that measures of well-being must move past readily available economic data, and newer measurements of well-being are often obtained through individual questions or questionnaires. Despite being more accessible to compare person to person, recent trends have...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015412079

Tracking the operational transmission of monetary policy in Rwanda : a novel PCA-based approach

Kamali, Ivan; Dushime, Christian; Nyabagabo, Tercy - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015595689

Tracking Pillar 2 adjustments through macroeconomic factors : insights from PCA and BVAR

Baškot, Bojan; Lazarević, Milan; Erić, Ognjen; … - 2025

This paper investigates the systemic macroeconomic determinants of Pillar 2 Requirements (P2R) imposed by the European Central Bank (ECB) under the Single Supervisory Mechanism (SSM). While P2R is formally calibrated at the individual bank level through the Supervisory Review and Evaluation...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015556398

What do simple short-term models say about the latest economic trends in Russia?

Simola, Heli - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015402341

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What do simple short-term models say about the latest economic trends in Russia?

Simola, Heli - 2025

Book / Working Paper

What charge-off rates are predictable by macroeconomic latent factors?

Kim, Hyeongwoo; Son, Jisoo - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015083505

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What charge‐off rates are predictable by macroeconomic latent factors?

Kim, Hyeongwoo; Son, Jisoo - 2024

Book / Working Paper

What charge‐off rates are predictable by macroeconomic latent factors?

Kim, Hyeongwoo; Son, Jisoo - 2023

Book / Working Paper

Predictive power of U.S. macroeconomic factors for the dollar/won real exchange rate

Behera, Sarthak; Kim, Hyeongwoo; Kim, Soohyon - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014514179

Equity markets and monetary policy surprises

Gupta, Mayank; Pawar, Amit; Kumar, Satyam; Borad, Abhinandan - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014526606

New indicators for measuring financial conditions in a financially dollarized economy

Pérez Forero, Fernando - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015165291

On the forecastability of agricultural output

Kyriazi, Foteini; Xylangouras, Efthymios; Papadogonas, … - 2024

The disruption of supply chain due to Covid-19 and the war in Ukraine, render the prediction of agricultural output a determinant factor of economic life. We consider the predictability of agricultural output based on a set of explanatory variables, that include agricultural input, prices and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015386812

Does investor sentiment affect the Indian stock market? : evidence from Nifty 500 and other selected sectoral indices

Kamath, Aditi N.; Shenoy, Sandeep S.; Abhilash, Abhilash; … - 2024

Investor sentiment is the result of irrational speculations about the future asset values driven by the market participants. Though scholarly works on investor sentiment are evolving in both developed and emerging markets, the literature in the Indian context is relatively modest. To fill this...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015394357

Robust functional principal component analysis for detecting anomalous behaviors in electricity markets

Bernardi, Mara Sabina; Cerasa, Andrea; Grossi, Luigi; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015627091

Multidimensional measures of quality of life : a comparison of methods using U.S. county-level data

Cheng, Yang; Conroy, Tessa; Deller, Steven C. - 2026

There are numerous measures of place-based quality of life, accompanied by ongoing debate over which factors should be included. Past studies have predominately relied on aspatial, subjectively weighted combinations of different place-based characteristics. Little attention has been given to the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638967

The impact of traditional and digital financial inclusion on bank profitability : evidence from Ethiopian commercial banks

Arebo, Mohammed Jatoro; Mekonnen, Andualem Goshu - 2026

While prior research emphasizes the socio-economic benefits of financial inclusion, its implications for bank profitability remain underexplored. This paper employs seven traditional and four digital in- dicators to create a financial inclusion index through principal component analysis (PCA)....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015639184

A data-driven problem for integrating carbon-sensitive pricing into inventory optimization

Zemzami, Maria; Duong, Van Tien; Nguyen Nhan Quy; … - 2026

In the face of increasingly stringent carbon regulations and volatile energy markets, integrating environmental constraints into inventory optimization problems raises crucial questions: Is it always economically justified? And what level of problem complexity is appropriate? This paper proposes...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654277

A Historical-Index Measurement Framework for Agentic Capital: The Georgian Church, Monastic Knowledge Networks, and Institutional Resilience

Gondauri, Davit - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015664241

On structurally grouped approximate factor models

Tu, Yundong; Wang, Baiqing - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015554929

A high-frequency financial conditions index for Norway

Bowe, Frida; Gerdrup, Karsten R.; Maffei-Faccioli, Nicolò - 2023

We have constructed a financial conditions index for Norway (FCIN). The FCIN offers a daily update on Norwegian financial conditions based on data from January 2003 on bank lending rates, bond spreads, the foreign exchange market, the stock market and the housing market. The index is constructed...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013484734

Forecasting net charge‐off rates of large U.S. bank holding companies using macroeconomic latent factors

Kim, Hyeongwoo; Son, Jisoo - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014249738

Returns co-movement and interconnectedness : evidence from Indonesia banking system

Zuhrohtun, Zuhrohtun; Salim, M. Zulkifli; Sunaryo, Kunti; … - 2023

In this paper, we explore how asset returns used as a proxy to detect interconnectedness of systemic risk in the financial system. Our sample employs a mixture of Indonesian banks' public and prudential data over the 2012-2019 period. Using the Principal Component Analysis and Granger causality...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014503156

Measuring distribution of wealth in Zambia using census micro data : an application of principal component analysis

Mwansa, Floyd - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014288654

Enhancing gradient capital allocation with orthogonal convexity scenarios

Aigner, Philipp; Schlütter, Sebastian - 2023

Gradient capital allocation, also known as Euler allocation, is a technique used to redistribute diversified capital requirements among different segments of a portfolio. The method is commonly employed to identify dominant risks, assessing the risk-adjusted profitability of segments, and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014252258

Estimation of characteristics-based quantile factor models

Chen, Liang; Dolado, Juan J.; Gonzalo, Jesús; Pan, Haozi - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014252757

A comparative analysis of the principal component method and parallel analysis in working with official statistical data

Holubova, Halyna - 2023

The dynamic development of the digitized society generates large-scale information data flows. Therefore, data need to be compressed in a way allowing its content to remain complete and informative. In order for the above to be achieved, it is advisable to use the principal component method...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015051737

A financial conditions index for Iceland

Eysteinn Einarsson; Einarsdóttir, Stella; Tómas Dan … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015193638

Co-movement of Indonesian state-owned enterprise stocks

Atahau, Apriani Dorkas Rambu; Robiyanto, Robiyanto; … - 2023

According to portfolio theory, diversifying investment to several stocks with negative correlations may reduce portfolio risk. In contrast, combining stocks with similar movement (co-movement) has no impact on portfolio risk reduction. This study aims to examine state-owned enterprise stock...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014230634

New rank-based tests and estimators for common primitive shocks

Carlini, Federico; Rubin, Mirco; Vallarino, Pierluigi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015361272

A segmentation study on how Czech consumers make household food purchases

Velčovská, Šárka; Prokopová, Vendula - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015415991

Analysis of the 2025 Bundestag elections : part 4 of 4 : Changes in the German political spectrum

Tanguiane, Andranick S. - 2025

This is the last out of four papers on the 2025 German federal elections continuing our analysis of the 2009, 2013, 2017 and 2021 Bundestag elections. First, we apply the model from [Tangian 2022b] to construct the 2025 German political spectrum understood as a contiguous party ordering, i.e.,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015421692

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Analysis of the 2025 Bundestag elections. Part 4 of 4: Changes in the German political spectrum

Tanguiane, Andranick S. - 2025

Book / Working Paper

Sustainability reporting in the EU-27: The impact of national ESG ecosystems and organizational implications

Avram, Alexandru; Lungu, Georgiana Maria; Avram, Costin … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015463828

Artificial Intelligence adoption in the European Union: A data-driven cluster analysis (2021-2024)

Ionașcu, Costel Marian - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015469284

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Artificial Intelligence adoption in the European Union : a data-driven cluster analysis (2021-2024)

Ionașcu, Costel Marian - 2025

Article

Helpless rich data: The effect of financial openness with dimensionality reduction

Cha, H. E.; Wang, Doo Kyun; Berg-Ridenour, Sherryl - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015469703

Global shocks and local fragilities: A financial stress index approach to Pakistan's monetary and asset market dynamics

Yousfani, Kinza; Iftikhar, Hasnain; Rodrigues, Paulo Canas - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015469939

On the Correlation and Predictability of Topological Measures in Transportation Networks

Milani, Rudy; Nistor, Marian Sorin; Moll, Maximilian; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015508927

Dynamically Consistent Analysis of Realized Covariations in Term Structure Models

Schroers, Dennis - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015585165

Introducing a multi-dimensional financial development index for the Philippines

Armas, Jean Christine A.; De Guzman, Nerissa D. - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015595240

From macro to micro: Enhancing real GDP predictions through business tendency and bank loans surveys

Cepni, Oguzhan; Emirmahmutoglu, Furkan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015635781

Financial conditions and economic activity: The case of Türkiye

Ergül, Özgür; Günay, Mahmut - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015636103

Financial conditions and economic activity : the case of Türkiye

Ergül, Özgür; Günay, Mahmut - 2025

This study conducts a comprehensive analysis of the effects of changes in financial conditions on the economy of Türkiye, for which financial conditions indices were constructed. To examine possible changes in the relationship between financial conditions and the real economy due to the unique...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334522

Helpless rich data : the effect of financial openness with dimensionality reduction

Cha, H. E.; Wang, Doo Kyun; Berg-Ridenour, Sherryl - 2025

The literature on financial openness is rich, yet the selection of a suitable financial index remains a challenge. In this paper, Principal Component Analysis (PCA) and Factor Analysis (FA) are utilized to reduce the dimensionality of five publicly available financial openness indices. The...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015337750

New rank-based tests and estimators for common primitive shocks

Carlini, Federico; Rubin, Mirco; Vallarino, Pierluigi - 2025 - This version: February 28, 2025

We propose a new rank-based test for the number of common primitive shocks, q, in large panel data. After estimating a VAR(1) model on r static factors extracted by principal component analysis, we estimate the number of common primitive shocks by testing the rank of the VAR residuals'...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015329825

From macro to micro : enhancing real GDP predictions through business tendency and bank loans surveys

Cepni, Oguzhan; Emirmahmutoglu, Furkan - 2025

This study examines how effectively common factors, extracted using both the partial least squares method and principal component analysis from the business tendency survey and the banking loan tendency survey, can predict Turkiye's economic growth. The findings indicate that integrating this...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472076

Exploring container port connectivity in Southeast Asia : an integrated assessment approach

Hwang, Ming-Jiu; Huang, Ya-Pei - 2025

The Asian region has become the world's manufacturing hub due to its cost advantages, driving the development of container transportation. Recently, enterprises have favored Southeast Asia for its demographic dividend and geographical benefits. The relationships between ports are complex, and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015472243

Global shocks and local fragilities : a financial stress index approach to Pakistan's monetary and asset market dynamics

Yousfani, Kinza; Iftikhar, Hasnain; Rodrigues, Paulo Canas - 2025

Economic stability in emerging market economies is increasingly shaped by the interplay between global financial integration, domestic monetary dynamics, and asset price fluctuations. Yet, early detection of financial market disruptions remains a persistent challenge. This study constructs a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447842