Search results for "Factor models"
showing 9 items of 9 documents
A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data
2008
The aim of this paper is to consider multivariate stochastic volatility models for large dimensional datasets. We suggest the use of the principal component methodology of Stock and Watson [Stock, J.H., Watson, M.W., 2002. Macroeconomic forecasting using diffusion indices. Journal of Business and Economic Statistics, 20, 147–162] for the stochastic volatility factor model discussed by Harvey, Ruiz, and Shephard [Harvey, A.C., Ruiz, E., Shephard, N., 1994. Multivariate Stochastic Variance Models. Review of Economic Studies, 61, 247–264]. We provide theoretical and Monte Carlo results on this method and apply it to S&P data.
Primary Commodity Prices: Co-movements, Common Factors and Fundamentals
2011
The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, we document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on the co-movement of commodity prices.
Interest rate co-movements, global factors and the long end of the term spread
2010
Faktoru modeļu priekšrocības ekonomiskās aktivitātes īstermiņa prognozēšanā
2014
Promocijas darba anotācija Pēdējā desmitgadē Latvijas tautsaimniecības attīstība bijusi īpaši svārstīga, kas sarežģīja ekonomiskās politikas lēmumu pieņemšanu ekonomiskās situācijas stabilizēšanai. Lai atvieglotu lēmumu pieņemšanu, ekonomisko aktivitāti īstermiņā var prognozēt ar ekonometriskiem modeļiem. Promocijas darba mērķis ir novērtēt faktoru modeļu priekšrocības ekonomiskās aktivitātes prognozēšanas kontekstā un noteikt Latvijas gadījumā nepieciešamo instrumentu un metožu klāstu īstermiņa prognozēšanai. Promocijas darbā tiek sniegtas atbildes uz faktoru modeļu lietošanas problēmjautājumiem īstermiņa prognozēšanā, kā arī novērtēti daži faktoru modeļu lietošanas aspekti. Faktoru modeļu…
Interest rate co-movements, global factors and the long end of the term spread
2012
The disconnect between rising short and low long interest rates has been a distinctive feature of the 2000s. Both research and policy circles have argued that international forces, such as global monetary policy (e.g. Rogoff, 2006); international business cycles (e.g. Borio and Filardo, 2007); or a global savings glut (e.g Bernanke, 2005) may be responsible. In this paper, we employ recent advances in panel data econometrics to document the disconnect and link it explicitly to the existence of a global latent factor that dominates the long end of the term spread for the recent period; the saving glut story emerges as the most likely contender for the global factor.
Croissance et convergence des pays de la zone CFA : une étude par les données de panel non stationnaires
2011
During the recent years, african countries in the CFA zone have experienced many economic changes on the one hand through the measures initiated by bilateral and multilateral donors and on the other hand through the economic and monetary integration policies. Thus, relying on the assumption that because of these interventions, the economic systems incorporate various phenomena such as structural change and economic interdependencies, we studied their major implications on growth, convergence and growth predictability. Emphasis is first placed on the major features of integration policies in a monetary union, while stressing the possible implications of such policies on the economic dynamics…
Co-movement of public spending in the G7
2010
Abstract The size of government in the G7 countries in the last fifty years follows a common pattern (see the left panel of Fig. 1 below): it grows in the first three decades, and then turns flat at the beginning of the nineties, for all countries alike. We highlight this common pattern in a dynamic factor model, and argue that a satisfactory explanation for it would be desirable.
Correlation, hierarchies, and networks in financial markets
2010
We discuss some methods to quantitatively investigate the properties of correlation matrices. Correlation matrices play an important role in portfolio optimization and in several other quantitative descriptions of asset price dynamics in financial markets. Specifically, we discuss how to define and obtain hierarchical trees, correlation based trees and networks from a correlation matrix. The hierarchical clustering and other procedures performed on the correlation matrix to detect statistically reliable aspects of the correlation matrix are seen as filtering procedures of the correlation matrix. We also discuss a method to associate a hierarchically nested factor model to a hierarchical tre…
Primary commodity prices: co-movements, common factors and fundamentals
2011
The behavior of commodities is critical for developing and developed countries alike. This paper contributes to the empirical evidence on the co-movement and determinants of commodity prices. Using nonstationary panel methods, the authors document a statistically significant degree of co-movement due to a common factor. Within a Factor Augmented VAR approach, real interest rate and uncertainty, as postulated by a simple asset pricing model, are both found to be negatively related to this common factor. This evidence is robust to the inclusion of demand and supply shocks, which both positively impact on co-movement of commodity prices.