Nothing Special   »   [go: up one dir, main page]
create a website
Analyzing business cycle asymmetries in a multi-level factor model. (2015). Breitung, Jörg ; Eickmeier, Sandra.
In: Economics Letters.
RePEc:eee:ecolet:v:127:y:2015:i:c:p:31-34.

Full description at Econpapers || Download paper

Cited: 8

Citations received by this document

Cites: 21

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Factoring in the micro: a transaction-level dynamic factor approach to the decomposition of export volatility. (2021). Grazzi, Marco ; Cuzzola, Angelo ; Barigozzi, Matteo ; Moschella, Daniele.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2021/22.

    Full description at Econpapers || Download paper

  2. Does monetary policy impact international market co-movements?. (2020). Pelizzon, Loriana ; Caporin, Massimiliano ; Plazzi, Alberto.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:276.

    Full description at Econpapers || Download paper

  3. A multi‐country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Pfarrhofer, Michael ; Huber, Florian ; Piribauer, Philipp.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:6:p:911-926.

    Full description at Econpapers || Download paper

  4. A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Huber, Florian ; Piribauer, Philipp ; Pfarrhofer, Michael.
    In: Papers.
    RePEc:arx:papers:2001.03935.

    Full description at Econpapers || Download paper

  5. The effects of business cycle indicators on stock market indices of food industry in Iran. (2018). Mohammadi, Hassan ; Shabanian, F ; Shahnoushi, N ; Abolhasani, L.
    In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia.
    RePEc:ags:iaae18:277425.

    Full description at Econpapers || Download paper

  6. The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo.
    In: CREATES Research Papers.
    RePEc:aah:create:2018-38.

    Full description at Econpapers || Download paper

  7. Discovering pervasive and non-pervasive common cycles. (2017). Real, Guillermo Carlomagno ; Terrades, Antoni Espasa.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:25392.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Ahn, S. ; Hornstein, A. Eigenvalue ratio test for the number of factors. 2013 Econometrica. 81 1203-1227

  2. Bernanke, B. ; Boivin, J. ; Eliasz, P. Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach. 2005 Quart. J. Econ.. 120 387-

  3. Boivin, J. ; Giannoni, M. Global forces and monetary effectiveness. 2008 En : Galí, J. ; Gertler, M.J. International Dimensions of Monetary Policy. University of Chicago Press:

  4. Boivin, J., Giannoni, M., Mojon, B., 2008. How has the euro changed the monetary transmission? NBER Macroeconomic Annual 23, pp. 77–125.

  5. Breitung, J., Eickmeier, S., 2014. Analyzing business and financial cycles using multi-level factor models. Deutsche Bundesbank Discussion Paper 11/2014.

  6. Buch, C. ; Eickmeier, S. ; Prieto, E. Macroeconomic factors and micro-level bank behavior. 2014 J. Money Credit Bank.. 46 715-751

  7. Chauvet, M. ; Hamilton, J. Dating business cycle turning points. 2006 En : Milas, C. ; Rothman, P. ; van Dijk, D. Nonlinear Time Series Analysis of Business Cycles. Elsevier:
    Paper not yet in RePEc: Add citation now
  8. D’Agostino, A. ; Giannone, D. Comparing alternative predictors based on large-panel dynamic factor models. 2012 Oxford Bull. Econ. Stat.. 74 306-326
    Paper not yet in RePEc: Add citation now

  9. Del Negro, M. ; Schorfheide, F. DSGE model-based forecasting. 2012 En : Handbook of Economic Forecasting, Vol. 2. :

  10. Faust, J. ; Gilchrist, S. ; Wright, J. ; Zakrajsek, E. Credit spreads as predictors of real-time economic activity: a Bayesian model-averaging approach. 2013 Rev. Econ. Stat.. 96 1501-1519

  11. Gilchrist, S. ; Zakrajsek, E. Credit spreads and business cycle fluctuations. 2012 Amer. Econ. Rev.. 102 1692-1720

  12. Goodwin, T. Business-cycle analysis with a Markov-switching model. 1993 J. Bus. Econom. Statist.. 11 331-339

  13. Kose, M. ; Otrok, C. ; Whiteman, C. International business cycles: world, region, and country-specific factors. 2003 Amer. Econ. Rev.. 93 1216-1239

  14. Liebermann, J., 2012. Real-time forecasting in a data-rich environment. MPRA Paper, Munich 39452.

  15. Lopez-Salido, D., Nelson, E., 2010. Postwar financial crises and economic recoveries in the United States. Mimeo.

  16. Moench, E. ; Ng, S. ; Potter, S. Dynamic hierarchical factor models. 2013 Rev. Econ. Stat.. 95 1811-1817
    Paper not yet in RePEc: Add citation now

  17. Nason, J., Tallman, E.W., 2012. Business cycles and financial crises: the roles of credit supply and demand shocks. Federal Reserve Bank of Philadelphia Working Paper 2012-24.

  18. Ng, S. ; Wright, J. Facts and challenges from the great recession. 2013 J. Econom. Lit.. 51 1120-1154
    Paper not yet in RePEc: Add citation now

  19. Peersman, G. ; Smets, F. Are the effects of monetary policy in the euro area greater in recessions than in booms?. 2002 En : Mahadeva, ; Sinclair, Monetary Transmission in Diverse Economies. Cambridge University Press:

  20. Stock, J. ; Watson, M. Forecasting using principal components from a large number of predictors. 2002 J. Amer. Statist. Assoc.. 97 1167-1179

  21. Stock, J.H. ; Watson, M.W. Disentangling the channels of the 2007–2009 recession. 2012 Brookings Pap. Econ. Act. Spring. 2012 81-135

Cocites

Documents in RePEc which have cited the same bibliography

  1. Housing Demand Shocks and Households’ Balance Sheets. (2021). Anderes, Marc.
    In: KOF Working papers.
    RePEc:kof:wpskof:21-492.

    Full description at Econpapers || Download paper

  2. Nonlinear factor models for network and panel data. (2021). Fernandez-Val, Ivan ; Weidner, Martin ; Chen, Mingli.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:220:y:2021:i:2:p:296-324.

    Full description at Econpapers || Download paper

  3. Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang.
    In: Papers.
    RePEc:arx:papers:1911.02173.

    Full description at Econpapers || Download paper

  4. How well can we learn large factor models without assuming strong factors?. (2019). Zhu, Yinchu.
    In: Papers.
    RePEc:arx:papers:1910.10382.

    Full description at Econpapers || Download paper

  5. Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo.
    In: Papers.
    RePEc:arx:papers:1708.02786.

    Full description at Econpapers || Download paper

  6. Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics. (2016). Stock, J H ; Watson, M W.
    In: Handbook of Macroeconomics.
    RePEc:eee:macchp:v2-415.

    Full description at Econpapers || Download paper

  7. Generalized Efficient Inference on Factor Models with Long-Range Dependence. (2016). Ergemen, Yunus Emre .
    In: CREATES Research Papers.
    RePEc:aah:create:2016-05.

    Full description at Econpapers || Download paper

  8. Changes in the Factor Structure of the U.S. Economy: Permanent Breaks or Business Cycle Regimes?. (2015). Hartigan, Luke .
    In: Discussion Papers.
    RePEc:swe:wpaper:2015-17.

    Full description at Econpapers || Download paper

  9. Short-term forecasting with mixed-frequency data: A MIDASSO approach. (2015). Siliverstovs, Boriss.
    In: KOF Working papers.
    RePEc:kof:wpskof:15-375.

    Full description at Econpapers || Download paper

  10. A noisy principal component analysis for forward rate curves. (2015). Laurini, Márcio ; Ohashi, Alberto .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:246:y:2015:i:1:p:140-153.

    Full description at Econpapers || Download paper

  11. Asymptotic analysis of the squared estimation error in misspecified factor models. (2015). Onatski, Alexei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:2:p:388-406.

    Full description at Econpapers || Download paper

  12. Risks of large portfolios. (2015). Liao, Yuan ; Fan, Jianqing ; Shi, Xiaofeng .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:2:p:367-387.

    Full description at Econpapers || Download paper

  13. Estimating the common break date in large factor models. (2015). Chen, Liang.
    In: Economics Letters.
    RePEc:eee:ecolet:v:131:y:2015:i:c:p:70-74.

    Full description at Econpapers || Download paper

  14. Analyzing business cycle asymmetries in a multi-level factor model. (2015). Breitung, Jörg ; Eickmeier, Sandra.
    In: Economics Letters.
    RePEc:eee:ecolet:v:127:y:2015:i:c:p:31-34.

    Full description at Econpapers || Download paper

  15. Empirical Analysis of Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates using Panel Data Econometric Methods. (2015). Rezitis, Anthony.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2015-03-28.

    Full description at Econpapers || Download paper

  16. The macroeconomic effects of the sovereign debt crisis in the euro area. (2015). Ropele, Tiziano ; Neri, Stefano.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_1007_15.

    Full description at Econpapers || Download paper

  17. Supervision in Factor Models Using a Large Number of Predictors. (2015). Hillebrand, Eric ; Boldrini, Lorenzo .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-38.

    Full description at Econpapers || Download paper

  18. Efficient estimation of heterogeneous coefficients in panel data models with common shock. (2014). Lu, Lina ; Li, Kunpeng.
    In: MPRA Paper.
    RePEc:pra:mprapa:59312.

    Full description at Econpapers || Download paper

  19. Commodity-Price Comovement and Global Economic Activity. (2014). Coibion, Olivier ; Bhattarai, Saroj ; Alquist, Ron.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:20003.

    Full description at Econpapers || Download paper

  20. Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities. (2014). Schorfheide, Frank ; Liao, Zhipeng ; Cheng, Xu.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19792.

    Full description at Econpapers || Download paper

  21. Asymptotic Efficiency in Factor Models and Dynamic Panel Data Models. (2014). Okui, Ryo ; Iwakura, Haruo .
    In: KIER Working Papers.
    RePEc:kyo:wpaper:887.

    Full description at Econpapers || Download paper

  22. The KOF Economic Barometer, Version 2014. (2014). Sturm, Jan-Egbert ; Siliverstovs, Boriss ; Graff, Michael ; Abberger, Klaus.
    In: KOF Working papers.
    RePEc:kof:wpskof:14-353.

    Full description at Econpapers || Download paper

  23. Das neue KOF Konjunkturbarometer – Version 2014. (2014). Sturm, Jan-Egbert ; Siliverstovs, Boriss ; Graff, Michael ; Abberger, Klaus.
    In: KOF Analysen.
    RePEc:kof:anskof:v:8:y:2014:i:1:p:91-106.

    Full description at Econpapers || Download paper

  24. Linear regression for panel with unknown number of factors as interactive fixed effects. (2014). Weidner, Martin ; Moon, Hyungsik.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:35/14.

    Full description at Econpapers || Download paper

  25. Understanding the Deviations of the Taylor Rule: A New Methodology with an Application to Australia. (2014). Vespignani, Joaquin ; Hudson, Kerry B..
    In: CAMA Working Papers.
    RePEc:een:camaaa:2014-78.

    Full description at Econpapers || Download paper

  26. Sufficient information in structural VARs. (2014). Gambetti, Luca ; Forni, Mario.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:66:y:2014:i:c:p:124-136.

    Full description at Econpapers || Download paper

  27. Detecting big structural breaks in large factor models. (2014). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang ; JuanJ. Dolado, .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:180:y:2014:i:1:p:30-48.

    Full description at Econpapers || Download paper

  28. Selection of the number of factors in presence of structural instability: a Monte Carlo study. (2014). Stevanovic, Dalibor ; MAO TAKONGMO, Charles Olivier.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2014s-44.

    Full description at Econpapers || Download paper

  29. Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis. (2014). Henzel, Steffen ; Rengel, Malte.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4991.

    Full description at Econpapers || Download paper

  30. Commodity Price Co-Movement and Global Economic Activity. (2014). Coibion, Olivier ; Alquist, Ron.
    In: Staff Working Papers.
    RePEc:bca:bocawp:14-32.

    Full description at Econpapers || Download paper

  31. The Global Partnership for Sustainable Development. (2013). Quibria, M.G. ; Huang, Yongfu.
    In: WIDER Working Paper Series.
    RePEc:unu:wpaper:wp2013-057.

    Full description at Econpapers || Download paper

  32. Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons. (2013). Choi, In.
    In: Working Papers.
    RePEc:sgo:wpaper:1209.

    Full description at Econpapers || Download paper

  33. Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs. (2013). Zhao, Yang ; MacDonald, Ronald ; Huang, Huichou.
    In: MPRA Paper.
    RePEc:pra:mprapa:53745.

    Full description at Econpapers || Download paper

  34. A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets. (2013). GUO-FITOUSSI, Liang .
    In: MPRA Paper.
    RePEc:pra:mprapa:50005.

    Full description at Econpapers || Download paper

  35. Detecting Big Structural Breaks in Large Factor Models. (2013). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang.
    In: Economics Series Working Papers.
    RePEc:oxf:wpaper:677.

    Full description at Econpapers || Download paper

  36. Bond Spreads and Economic Activity in Eight European Economies. (2013). Mizen, Paul ; Bleaney, Michael ; Veleanu, Veronica.
    In: Discussion Papers.
    RePEc:not:notcfc:13/09.

    Full description at Econpapers || Download paper

  37. The Comovement in Commodity Prices; Sources and Implications. (2013). Coibion, Olivier ; Alquist, Ron.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2013/140.

    Full description at Econpapers || Download paper

  38. Testing for Factor Loading Structural Change under Common Breaks. (2013). Yamamoto, Yohei ; Tanaka, Shinya .
    In: Discussion Papers.
    RePEc:hit:econdp:2013-17.

    Full description at Econpapers || Download paper

  39. Shrinkage estimation of high-dimensional factor models with structural instabilities. (2013). Schorfheide, Frank ; Liao, Zhipeng ; Cheng, Xu.
    In: Working Papers.
    RePEc:fip:fedpwp:14-4.

    Full description at Econpapers || Download paper

  40. Large panel data models with cross-sectional dependence: a survey. (2013). Pesaran, M ; Chudik, Alexander.
    In: Globalization Institute Working Papers.
    RePEc:fip:feddgw:153.

    Full description at Econpapers || Download paper

  41. Group Invariance, Likelihood Ratio Tests, and the Incidental Parameter Problem in a High-Dimensional Linear Model. (2013). Moreira, Marcelo ; Hallin, Marc ; Onatski, Alexei ; Marcelo Moreira J., .
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/137736.

    Full description at Econpapers || Download paper

  42. Dimensions of macroeconomic uncertainty: A common factor analysis. (2013). Henzel, Steffen ; Rengel, Malte.
    In: ifo Working Paper Series.
    RePEc:ces:ifowps:_167.

    Full description at Econpapers || Download paper

  43. Large Panel Data Models with Cross-Sectional Dependence: A Survey. (2013). Pesaran, M ; Chudik, Alexander.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_4371.

    Full description at Econpapers || Download paper

  44. Factor models. (2011). Choi, In ; Breitung, Jörg.
    In: Working Papers.
    RePEc:sgo:wpaper:1121.

    Full description at Econpapers || Download paper

  45. Principal Components and Factor Analysis. A Comparative Study.. (2011). Travaglini, Guido.
    In: MPRA Paper.
    RePEc:pra:mprapa:35486.

    Full description at Econpapers || Download paper

  46. Panel Data Models with Unobserved Multiple Time- Varying Effects to Estimate Risk Premium of Corporate Bonds. (2010). Kneip, Alois ; Bada, Oualid .
    In: MPRA Paper.
    RePEc:pra:mprapa:26006.

    Full description at Econpapers || Download paper

  47. Supervised Principal Components and Factor Instrumental Variables. An Application to Violent CrimeTrends in the US, 1982-2005.. (2010). Travaglini, Guido.
    In: MPRA Paper.
    RePEc:pra:mprapa:22077.

    Full description at Econpapers || Download paper

  48. Cross-sectional Dependence in Panel Data Analysis. (2010). Sarafidis, Vasilis ; Wansbeek, Tom.
    In: MPRA Paper.
    RePEc:pra:mprapa:20367.

    Full description at Econpapers || Download paper

  49. A Robust Criterion for Determining the Number of Factors in Approximate Factor Models. (2009). Capasso, Marco ; Barigozzi, Matteo ; Alessi, Lucia.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2009_023.

    Full description at Econpapers || Download paper

  50. Bond Spreads as Predictors of Economic Activity in Eight European Economies. (). Mizen, Paul ; Bleaney, Michael ; Veleanu, Veronica.
    In: Discussion Papers.
    RePEc:not:notcfc:12/11.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-11-28 14:59:43 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.