相关论文: A multi-country dynamic factor model with stochast…

We measure the Euro Area (EA) output gap and potential output using a non-stationary dynamic factor model estimated on a large dataset of macroeconomic and financial variables. Our results indicate that, between 2012 and 2024, the EA…

In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a…

Timely information about the state of regional economies can be essential for planning, implementing and evaluating locally targeted economic policies. However, European regional accounts for output are published at an annual frequency and…

This paper proposes a hierarchical modeling approach to perform stochastic model specification in Markov switching vector error correction models. We assume that a common distribution gives rise to the regime-specific regression…

We use a FAVAR model with proxy variables and sign restrictions to investigate the role of the euro area's common output and inflation cycles in the transmission of monetary policy shocks. Our findings indicate that common cycles explain…

This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a large-information setting. The joint evolution of these…

This paper develops a high-frequency economic indicator using a Bayesian Dynamic Factor Model estimated with mixed-frequency data. The model incorporates weekly, monthly, and quarterly official indicators, and allows for dynamic…

During the last decades particular effort has been directed towards understanding and predicting the relevant state of the business cycle with the objective of decomposing permanent shocks from those having only a transitory impact on real…

Successful forecasting models strike a balance between parsimony and flexibility. This is often achieved by employing suitable shrinkage priors that penalize model complexity but also reward model fit. In this note, we modify the stochastic…

Modeling the time-varying covariance structures of high-dimensional variables is critical across diverse scientific and industrial applications; however, existing approaches exhibit notable limitations in either modeling flexibility or…

We introduce EA-MD-QD, a new publicly available dataset comprising 1136 macroeconomic time series for the euro area (EA) and its ten largest member countries observed at monthly or quarterly frequency. Since January 2024, EA-MD-QD has been…

We propose a novel framework for modeling time-varying persistence in economic time series, allowing for smoothly evolving heterogeneity in shock dynamics. We leverage localized regression techniques to flexibly identify changes in…

In this paper, we forecast euro area inflation and its main components using an econometric model which exploits a massive number of time series on survey expectations for the European Commission's Business and Consumer Survey. To make…

We propose a dynamic multiplicative factor model for process data, which arise from complex problem-solving items, an emerging testing mode in large-scale educational assessment. The proposed model can be viewed as an extension of the…

Volatilities, in high-dimensional panels of economic time series with a dynamic factor structure on the levels or returns, typically also admit a dynamic factor decomposition. We consider a two-stage dynamic factor model method recovering…

This paper expands on stochastic volatility models by proposing a data-driven method to select the macroeconomic events most likely to impact volatility. The paper identifies and quantifies the effects of macroeconomic events across…

Motivated by practical applications, we explore the constrained multi-period mean-variance portfolio selection problem within a market characterized by a dynamic factor model. This model captures predictability in asset returns driven by…

Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One…

In a globalised world, inflation in a given country may be becoming less responsive to domestic economic activity, while being increasingly determined by international conditions. Consequently, understanding the international sources of…

In this paper, we propose a price staleness factor model that accounts for pervasive market friction across assets and incorporates relevant covariates. Using large-panel high-frequency data, we derive the maximum likelihood estimators of…