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Using The Dynamic Bi Factor Model With Markov Switching To Predict The Cyclical Turns In The Large European Economies
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Book Synopsis Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies by : Konstantin Arkadievich Kholodilin
Download or read book Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies written by Konstantin Arkadievich Kholodilin and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Dynamic Factor Models by : Siem Jan Koopman
Download or read book Dynamic Factor Models written by Siem Jan Koopman and published by Emerald Group Publishing. This book was released on 2016-01-08 with total page 685 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Measuring and Predicting Turning Points Using a Dynamic Bi-Factor Model by : Konstantin A. Kholodilin
Download or read book Measuring and Predicting Turning Points Using a Dynamic Bi-Factor Model written by Konstantin A. Kholodilin and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper a dynamic bi-factor model with Markov-switching is developed to measure and predict turning points. Both common factors have their own cyclical dynamics and their lead-lag relationships are reflected in the transition probabilities matrix. The model is applied to four coincident and four selected leading indicators for the US economy. The bi-factor model stimates that, on average, CLI leads CCI by 7-8 months at both peaks and troughs. The model-derived recession probabilities of CCI and those of CLI with a lag of 9 months capture the NBER business cycle chronology very well. The out-of-sample forecast using CLI successfully detected the latest recession from March to December 2001. This ensures the measurement and prediction of turning points in a precise and timely fashion.
Book Synopsis Advances in Markov-Switching Models by : James D. Hamilton
Download or read book Advances in Markov-Switching Models written by James D. Hamilton and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 267 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of state-of-the-art papers on the properties of business cycles and financial analysis. The individual contributions cover new advances in Markov-switching models with applications to business cycle research and finance. The introduction surveys the existing methods and new results of the last decade. Individual chapters study features of the U. S. and European business cycles with particular focus on the role of monetary policy, oil shocks and co movements among key variables. The short-run versus long-run consequences of an economic recession are also discussed. Another area that is featured is an extensive analysis of currency crises and the possibility of bubbles or fads in stock prices. A concluding chapter offers useful new results on testing for this kind of regime-switching behaviour. Overall, the book provides a state-of-the-art over view of new directions in methods and results for estimation and inference based on the use of Markov-switching time-series analysis. A special feature of the book is that it includes an illustration of a wide range of applications based on a common methodology. It is expected that the theme of the book will be of particular interest to the macroeconomics readers as well as econometrics professionals, scholars and graduate students. We wish to express our gratitude to the authors for their strong contributions and the reviewers for their assistance and careful attention to detail in their reports.
Book Synopsis Dynamic Factor Markov Switching Model and Its Applications in Business Cycles by : Chengxuan Yu
Download or read book Dynamic Factor Markov Switching Model and Its Applications in Business Cycles written by Chengxuan Yu and published by . This book was released on 2001 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Regime-Switching Factor Models and Nowcasting with Big Data by : Omer Faruk Akbal
Download or read book Regime-Switching Factor Models and Nowcasting with Big Data written by Omer Faruk Akbal and published by International Monetary Fund. This book was released on 2024-09-06 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper shows that the Expectation-Maximization (EM) algorithm for regime-switching dynamic factor models provides satisfactory performance relative to other estimation methods and delivers a good trade-off between accuracy and speed, which makes it especially useful for large dimensional data. Unlike traditional numerical maximization approaches, this methodology benefits from closed-form solutions for parameter estimation, enhancing its practicality for real-time applications and historical data exercises with focus on frequent updates. In a nowcasting application to vintage US data, I study the information content and relative performance of regime-switching model after each data releases in a fifteen year period, which was only feasible due to the time efficiency of the proposed estimation methodology. While existing literature has already acknowledged the performance improvement of nowcasting models under regime-switching, this paper shows that the superior nowcasting performance observed particularly when key economic indicators are released. In a backcasting exercise, I show that the model can closely match the recession starting and ending dates of the NBER despite having less information than actual committee meetings, where the fit between actual dates and model estimates becomes more apparent with the additional available information and recession end dates are fully covered with a lag of three to six months. Given that the EM algorithm proposed in this paper is suitable for various regime-switching configurations, this paper provides economists and policymakers with a valuable tool for conducting comprehensive analyses, ranging from point estimates to information decomposition and persistence of recessions in larger datasets.
Book Synopsis Markov-switching dynamic factor models in real time by : Maximo Camacho
Download or read book Markov-switching dynamic factor models in real time written by Maximo Camacho and published by . This book was released on 2012 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Markov-switching Dynamic Factor Models in Real Time by : Máximo Camacho
Download or read book Markov-switching Dynamic Factor Models in Real Time written by Máximo Camacho and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We extend the Markov-switching dynamic factor model to account for some of the specificities of the day-to-day monitoring of economic developments from macroeconomic indicators, such as ragged edges and mixed frequencies. We examine the theoretical benefits of this extension and corroborate the results through several MonteCarlo simulations. Finally, we assess its empirical reliability to compute real-time inferences of the US business cycle.
Book Synopsis Business Cycle Dynamics After the Great Recession by : Catherine Doz
Download or read book Business Cycle Dynamics After the Great Recession written by Catherine Doz and published by . This book was released on 2020 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Markov-Switching Vector Autoregressions by : Hans-Martin Krolzig
Download or read book Markov-Switching Vector Autoregressions written by Hans-Martin Krolzig and published by Springer. This book was released on 2014-03-12 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contributes to re cent developments on the statistical analysis of multiple time series in the presence of regime shifts. Markov-switching models have become popular for modelling non-linearities and regime shifts, mainly, in univariate eco nomic time series. This study is intended to provide a systematic and operational ap proach to the econometric modelling of dynamic systems subject to shifts in regime, based on the Markov-switching vector autoregressive model. The study presents a comprehensive analysis of the theoretical properties of Markov-switching vector autoregressive processes and the related statistical methods. The statistical concepts are illustrated with applications to empirical business cyde research. This monograph is a revised version of my dissertation which has been accepted by the Economics Department of the Humboldt-University of Berlin in 1996. It con sists mainly of unpublished material which has been presented during the last years at conferences and in seminars. The major parts of this study were written while I was supported by the Deutsche Forschungsgemeinschajt (DFG), Berliner Graduier tenkolleg Angewandte Mikroökonomik and Sondeiforschungsbereich 373 at the Free University and Humboldt-University of Berlin. Work was finally completed in the project The Econometrics of Macroeconomic Forecasting founded by the Economic and Social Research Council (ESRC) at the Institute of Economies and Statistics, University of Oxford. It is a pleasure to record my thanks to these institutions for their support of my research embodied in this study.
Book Synopsis An Evaluation of the Index of Leading Indicators as Predictor of Cyclical Turning Points Using Markov Switching Model as Filter by : Kajal Lahiri
Download or read book An Evaluation of the Index of Leading Indicators as Predictor of Cyclical Turning Points Using Markov Switching Model as Filter written by Kajal Lahiri and published by . This book was released on 1993 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Interactions Between Eurozone and US Booms and Busts by : Monica Billio
Download or read book Interactions Between Eurozone and US Booms and Busts written by Monica Billio and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Synchronization of Markov Chains in Multivariate Regime-Switching Models by : Raphael Vial
Download or read book Synchronization of Markov Chains in Multivariate Regime-Switching Models written by Raphael Vial and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multivariate regime-switching presents an efficient way of jointly modeling the cyclical behavior of financial time series. Standard regime-switching models thereby a priori determine the relationship between the regime-switches of individual assets. These switches are usually assumed to be either perfectly synchronized or fully independent. However, neither assumption seems realistic in practice. This thesis develops a multivariate Markov regime-switching model to infer the actual degree of synchronization from the underlying data. This flexible model allows subgroups of assets to be driven by individual Markov chains. At the same time, these Markov chains underlie a dynamically changing degree of synchronization. In comparison to most existing solutions, this model is not restricted to bivariate analysis. To keep the model traceable, a novel factorization algorithm for the regime-dependent correlation matrix is formulated. This algorithm scales down the increase in parameters and presents an efficient way of ensuring positive semi-definite correlation matrices. The structure of the flexible regime-switching model is motivated by the initial synchronization analysis conducted in this thesis. The analysis of univariate regime-switching results shows that neither perfectly synchronized nor fully independent regime cycles are empirically observable. The synchronization of regime cycles tends to dynamically change over time. Some assets, however, might show more contemporaneous switching dynamics and can therefore be governed by a joint regime process. The empirical results for a sample of six international equity markets confirm the assumptions underlying this thesis. The flexible model reveals a stable synchronization factor, marked by one particular change in synchronization. The estimated parameters of this model closely cover the individual dynamics of their underlying assets and confirm the model's validity. Moreover, in some.
Book Synopsis Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model by : Bram van Os
Download or read book Accelerating Peak Dating in a Dynamic Factor Markov-Switching Model written by Bram van Os and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The dynamic factor Markov-switching (DFMS) model introduced by Chauvet (1998) has proven to be a powerful framework to measure the business cycle. We extend the DFMS model by allowing for time-varying transition probabilities, with the aim of accelerating the real-time dating of turning points between expansion and recession regimes. Time-variation of the transition probabilities is brought about endogenously using the accelerated score-driven approach and exogenously using the term spread. In a real-time application using the four components of The Conference Board's Coincident Economic Index for the period 1959-2020, we find that signaling power for recessions is significantly improved.
Book Synopsis Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov-Switching VAR Mode by : Monica Billio
Download or read book Interconnections Between Eurozone and US Booms and Busts Using a Bayesian Panel Markov-Switching VAR Mode written by Monica Billio and published by . This book was released on 2015 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: Interconnections between Eurozone and United States booms and busts and among major Eurozone economies are analyzed using a Panel Markov-Switching VAR model. The model accommodates changes in low and high data frequencies and incorporates endogenous time-varying transition matrices of country-specific Markov chains. These country-specific Markov chains depend on their own past history and the history of other chains, thus allowing for interconnections between cycles, and an endogenous common Eurozone cycle is derived by aggregating the country-specific cycles. The model is estimated using a simulation based Bayesian approach in which an efficient multi-move sampling algorithm is defined to draw time-varying Markov-switching chains. Using industrial production growth and credit spread data for all countries, several empirical results have emerged. Recession, slow gro wth and expansion are empirically identified as three regimes with slow growth becoming persistent in the Eurozone in recent years different from the US. The Eurozone and the US regimes appear not fully synchronized, with evidence of more recessions in the Eurozone. Second, turning point analysis indicates larger synchronization at the beginning of the Great Financial Crisis: this shock affects the US first, leading the Eurozone cycle, and spreads then rapidly among these economies. Third, amplification effects influence recession probabilities for Eurozone countries when shocks occur. The evidence is different for the US where this reinforcement does not exist. In recent years there are more imbalances among regimes in Eurozone countries. Fourth, a credit shock results in substantial negative industrial production growth for several months in Germany, Spain and the US.
Book Synopsis Factor Forecasting Using International Targeted Predictors by : Christian Schumacher
Download or read book Factor Forecasting Using International Targeted Predictors written by Christian Schumacher and published by . This book was released on 2016 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers factor forecasting with national versus factor forecasting withinternational data. We forecast German GDP based on a large set of about 500 time series, consisting of German data as well as data from Euro-area and G7 countries. For factor estimation, we consider standard principal components as well as variable preselection prior to factor estimation using targeted predictors following Bai and Ng [Forecasting economic time series using targeted predictors, Journal of Econometrics 146 (2008), 304-317]. The results are as follows: Forecasting without data preselection favours the use of German data only, and no additional information content can be extracted from international data. However, when using targeted predictors for variable selection, international data generally improves the forecastability of German GDP.
Book Synopsis The Oxford Handbook of Bayesian Econometrics by : John Geweke
Download or read book The Oxford Handbook of Bayesian Econometrics written by John Geweke and published by Oxford University Press. This book was released on 2011-09-29 with total page 576 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian econometric methods have enjoyed an increase in popularity in recent years. Econometricians, empirical economists, and policymakers are increasingly making use of Bayesian methods. This handbook is a single source for researchers and policymakers wanting to learn about Bayesian methods in specialized fields, and for graduate students seeking to make the final step from textbook learning to the research frontier. It contains contributions by leading Bayesians on the latest developments in their specific fields of expertise. The volume provides broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing. It reviews the state of the art in Bayesian econometric methodology, with chapters on posterior simulation and Markov chain Monte Carlo methods, Bayesian nonparametric techniques, and the specialized tools used by Bayesian time series econometricians such as state space models and particle filtering. It also includes chapters on Bayesian principles and methodology.
