Author: Sandra EickmeierPublisher:
ISBN: 9783865586933
Category :
Languages : en
Pages : 55
Book Description
Classical Time-varying FAVAR Models
Author: Sandra EickmeierPublisher:
ISBN: 9783865586933
Category :
Languages : en
Pages : 55
Book Description
Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis
Author: Sandra EickmeierPublisher:
ISBN:
Category :
Languages : en
Pages : 68
Book Description
We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of US variables from 1972 to 2007, the results indicate some changes in the factor dynamics, and more marked variation in the factors' shock volatility and their loading parameters. Forecasts from the time-varying FAVAR are more accurate than those from a constant parameter FAVAR for most variables and horizons when computed insample, for some variables in pseudo real time, mostly financial indicators. Finally, we use the time-varying FAVAR to assess how monetary transmission to the economy has changed. We find substantial time variation in the volatility of monetary policy shocks, and we observe that the reaction of GDP, the GDP deflator, inflation expectations and long-term interest rates to an equally-sized monetary policy shock has decreased since the early-1980s.
Handbook of Macroeconomics
Author: John B. TaylorPublisher: Elsevier
ISBN: 0444594787
Category : Business & Economics
Languages : en
Pages : 1376
Book Description
Handbook of Macroeconomics surveys all major advances in macroeconomic scholarship since the publication of Volume 1 (1999), carefully distinguishing between empirical, theoretical, methodological, and policy issues. It courageously examines why existing models failed during the financial crisis, and also addresses well-deserved criticism head on. With contributions from the world's chief macroeconomists, its reevaluation of macroeconomic scholarship and speculation on its future constitute an investment worth making. Serves a double role as a textbook for macroeconomics courses and as a gateway for students to the latest research Acts as a one-of-a-kind resource as no major collections of macroeconomic essays have been published in the last decade
Macroeconomic Forecasting in the Era of Big Data
Author: Peter FulekyPublisher: Springer Nature
ISBN: 3030311503
Category : Business & Economics
Languages : en
Pages : 716
Book Description
This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.
Dynamic Factor Models
Author: Siem Jan KoopmanPublisher: Emerald Group Publishing
ISBN: 1785603523
Category : Business & Economics
Languages : en
Pages : 685
Book Description
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
أخاديد في الذاكرة
Author: The GVAR Handbook
Author: Filippo di MauroPublisher: OUP Oxford
ISBN: 0191649082
Category : Business & Economics
Languages : en
Pages : 299
Book Description
The GVAR is a global Vector autoregression model of the global economy. The model was initially developed in the early 2000 by Professor Pesaran and co-authors, for the main purpose of analysing credit risk in a globalised economy. Starting from mid-2000 the model was substantially enlarged in the context of a project financed by the ECB, to comprise all major economies and the Euro area as a whole. The purpose of this version was to exploit the rich modelisation of international linkages in order to simulate and analyse global macro scenarios of high policy interest. The rich, yet manageable, specification of international linkages has stimulated a vast literature on the GVAR. Since early 2011, the basic model - and its data base - has also available on a dedicated GVAR-Toolbox website with an easy-to-use interface allowing practical applications by an extended audience, as well as more complex analysis by the expert public. The book provides an overview of the extensions and applications of the GVAR which have been developed in recent years. Such applications are grouped in three main categories: 1) International transmission and forecasting; 2) Finance applications; and 3) Regional applications. By using a language which is accessible to not econometricians, the book reaches out to the extended audience of practitioners and policy makers interested in understanding channels and impacts of international linkages.
Monthly Report
Author: Essays in Honour of Fabio Canova
Author: Juan J. DoladoPublisher: Emerald Group Publishing
ISBN: 1803828315
Category : Business & Economics
Languages : en
Pages : 203
Book Description
Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.
Economic and financial issues in the post-covid-19 world: Implications and role of public health
Author: Giray GozgorPublisher: Frontiers Media SA
ISBN: 2832514375
Category : Medical
Languages : en
Pages : 451
Book Description