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Dynamic factor models with time-varying parameters: measuring changes in international business cycles
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Cited by:
- Arce-Alfaro, Gabriel & Blagov, Boris, 2022. "Financial integration or financial fragmentation? A euro area perspective," Economic Modelling, Elsevier, vol. 114(C).
- Yukai Yang & Luc Bauwens, 2018.
"State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering,"
Econometrics, MDPI, vol. 6(4), pages 1-22, December.
- Yukai Yang & Luc Bauwens, 2018. "State-space models on the Stiefel Manifold with a new approach to nonlinear filtering," LIDAM Reprints CORE 2985, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Yukai Yang & Luc Bauwens, 2018. "State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering," CREATES Research Papers 2018-30, Department of Economics and Business Economics, Aarhus University.
- Breitung, Jörg & Eickmeier, Sandra, 2011.
"Testing for structural breaks in dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 163(1), pages 71-84, July.
- Breitung, Jörg & Eickmeier, Sandra, 2009. "Testing for structural breaks in dynamic factor models," Discussion Paper Series 1: Economic Studies 2009,05, Deutsche Bundesbank.
- N. Kundan Kishor & Salome Giorgadze, 2022. "Business cycle synchronization in the CIS region," Economics of Transition and Institutional Change, John Wiley & Sons, vol. 30(1), pages 135-158, January.
- Longo, Luigi & Riccaboni, Massimo & Rungi, Armando, 2022.
"A neural network ensemble approach for GDP forecasting,"
Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
- Luigi Longo & Massimo Riccaboni & Armando Rungi, 2021. "A Neural Network Ensemble Approach for GDP Forecasting," Working Papers 02/2021, IMT School for Advanced Studies Lucca, revised Mar 2021.
- Potjagailo, Galina & Wolters, Maik H., 2023.
"Global financial cycles since 1880,"
Journal of International Money and Finance, Elsevier, vol. 131(C).
- Potjagailo, Galina & Wolters, Maik H., 2019. "Global financial cycles since 1880," Kiel Working Papers 2122, Kiel Institute for the World Economy (IfW Kiel).
- Potjagailo, Galina & Wolters, Maik H, 2020. "Global financial cycles since 1880," Bank of England working papers 867, Bank of England.
- Potjagailo, Galina & Wolters, Maik H., 2019. "Global financial cycles since 1880," IMFS Working Paper Series 132, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Bai, Jushan & Wang, Peng, 2012. "Identification and estimation of dynamic factor models," MPRA Paper 38434, University Library of Munich, Germany.
- Marcellino, Massimiliano & Eickmeier, Sandra & Lemke, Wolfgang, 2011.
"Classical time-varying FAVAR models - Estimation, forecasting and structural analysis,"
CEPR Discussion Papers
8321, C.E.P.R. Discussion Papers.
- Eickmeier, Sandra & Lemke, Wolfgang & Marcellino, Massimiliano, 2011. "Classical time-varying FAVAR models - estimation, forecasting and structural analysis," Discussion Paper Series 1: Economic Studies 2011,04, Deutsche Bundesbank.
- Cem Cakmakli & Richard Paap & Dick J.C. van Dijk, 2011. "Modeling and Estimation of Synchronization in Multistate Markov-Switching Models," Tinbergen Institute Discussion Papers 11-002/4, Tinbergen Institute.
- Bjørnland, Hilde C. & Ravazzolo, Francesco & Thorsrud, Leif Anders, 2017.
"Forecasting GDP with global components: This time is different,"
International Journal of Forecasting, Elsevier, vol. 33(1), pages 153-173.
- Hilde C. Bjørnland & Francesco Ravazzolo & Leif Anders Thorsrud, 2015. "Forecasting GDP with global components. This time is different," Working Papers No 1/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Hilde C. Bjørnland & Francesco Ravazzolo & Leif Anders Thorsrud, 2015. "Forecasting GDP with global components. This time is different," Working Paper 2015/05, Norges Bank.
- Hilde C. Bjornland & Francesco Ravazzolo & Leif Anders Thorsrud, 2016. "Forecasting GDP with global components. This time is different," CAMA Working Papers 2016-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Antonello D’Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2016.
"Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 569-594,
Emerald Group Publishing Limited.
- Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015. "Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models," Finance and Economics Discussion Series 2015-66, Board of Governors of the Federal Reserve System (U.S.).
- Manu García & Juan F. Rubio-Ramírez, 2019. "Now-casting Spain," Working Papers 2019-03, FEDEA.
- Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019.
"Bayesian nonparametric sparse VAR models,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
- Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.
- Lee, Jim, 2012. "Measuring business cycle comovements in Europe: Evidence from a dynamic factor model with time-varying parameters," Economics Letters, Elsevier, vol. 115(3), pages 438-440.
- Massimiliano Marcellino & Mario Porqueddu & Fabrizio Venditti, 2016.
"Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 118-127, January.
- Marcellino, Massimiliano & Venditti, Fabrizio & Porqueddu, Mario, 2013. "Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility," CEPR Discussion Papers 9334, C.E.P.R. Discussion Papers.
- Massimiliano Marcellino & Mario Porqueddu & Fabrizio Venditti, 2013. "Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility," Temi di discussione (Economic working papers) 896, Bank of Italy, Economic Research and International Relations Area.
- Zeeshan Nezami Ansari & Md Mustafa & Rajendra Narayan Paramanik, 2024. "Linkages of International Business Cycle: An Euclidean Distance-Based Network Approach," Economic Research Guardian, Mutascu Publishing, vol. 14(2), pages 163-175, December.
- Bian, Zhicun & Ma, Jun & Ni, Jinlan & Stewart, Shamar, 2020. "Synchronization of regional growth dynamics in China," China Economic Review, Elsevier, vol. 61(C).
- James Morley, 2014. "Measuring economic slack in Asia and the Pacific," BIS Papers chapters, in: Bank for International Settlements (ed.), Globalisation, inflation and monetary policy in Asia and the Pacific, volume 77, pages 35-50, Bank for International Settlements.
- Alan Tidwell & Yan (Olivia) Lu & Junsoo Lee & Piyali Banerjee, 2023. "Nature of comovements in US state and MSA housing prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(4), pages 959-989, July.
- Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2009.
"Changes in International Business Cycle Affiliations,"
Economics Discussion Paper Series
0924, Economics, The University of Manchester.
- Erdenebat Bataa & Denise R. Osborn & Marianne Sensier & Dick van Dijk, 2009. "Changes in International Business Cycle Affiliations," Centre for Growth and Business Cycle Research Discussion Paper Series 132, Economics, The University of Manchester.
- Fabio Canova & Matteo Ciccarelli, 2009.
"Estimating Multicountry Var Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(3), pages 929-959, August.
- Fabio Canova & Matteo Ciccarelli, 2002. "Estimating multi-country VAR models," Economics Working Papers 920, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2008.
- Matteo Ciccarelli & Fabio Canova, 2006. "Estimating Multi-country VAR models," Computing in Economics and Finance 2006 478, Society for Computational Economics.
- Canova, Fabio & Ciccarelli, Matteo, 2006. "Estimating multi-country VAR models," Working Paper Series 603, European Central Bank.
- Fabio Canova & Matteo Ciccarelli, 2007. "Estimating Multi-country VAR models," Discussion Papers 7_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
- James H. Stock & Mark W. Watson, 2012. "Generalized Shrinkage Methods for Forecasting Using Many Predictors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 481-493, June.
- González-Astudillo, Manuel, 2019.
"An output gap measure for the euro area: Exploiting country-level and cross-sectional data heterogeneity,"
European Economic Review, Elsevier, vol. 120(C).
- Manuel Gonzalez-Astudillo, 2018. "An Output Gap Measure for the Euro Area : Exploiting Country-Level and Cross-Sectional Data Heterogeneity," Finance and Economics Discussion Series 2018-040, Board of Governors of the Federal Reserve System (U.S.).
- Reneé van Eyden & Rangan Gupta & Christophe André & Xin Sheng, 2022.
"The effect of macroeconomic uncertainty on housing returns and volatility: evidence from US state-level data,"
Chapters, in: Charles K.Y. Leung (ed.), Handbook of Real Estate and Macroeconomics, chapter 8, pages 206-238,
Edward Elgar Publishing.
- Renee van Eyden & Rangan Gupta & Christophe Andre & Xin Sheng, 2021. "The Effect of Macroeconomic Uncertainty on Housing Returns and Volatility: Evidence from US State-Level Data," Working Papers 202131, University of Pretoria, Department of Economics.
- Renee van Eyden & Rangan Gupta & Christophe Andre & Xin Sheng, 2021. "The Effect of Macroeconomic Uncertainty on Housing Returns and Volatility: Evidence from US State-Level Data," GRU Working Paper Series GRU_2021_008, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Eraslan, Sercan & Schröder, Maximilian, 2023. "Nowcasting GDP with a pool of factor models and a fast estimation algorithm," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1460-1476.
- Alain Kabundi & Francisco Nadal De Simone, 2011.
"France in the global economy: a structural approximate dynamic factor model analysis,"
Empirical Economics, Springer, vol. 41(2), pages 311-342, October.
- Mr. Francisco d Nadal De Simone & Alain N. Kabundi, 2007. "France in the Global Economy: A Structural Approximate Dynamic Factor Model Analysis," IMF Working Papers 2007/129, International Monetary Fund.
- Aleksandra Halka & Grzegorz Szafranski, 2018.
"What Common Factors are Driving Inflation in CEE Countries?,"
Prague Economic Papers, Prague University of Economics and Business, vol. 2018(2), pages 131-148.
- Aleksandra Halka & Grzegorz Szafrański, 2014. "What common factors are driving inflation in CEE countries?," EcoMod2014 6977, EcoMod.
- Aleksandra Hałka & Grzegorz Szafrański, 2015. "What common factors are driving inflation in CEE countries?," NBP Working Papers 225, Narodowy Bank Polski.
- Huh, Hyeon-seung & Kim, David & Kim, Won Joong & Park, Cyn-Young, 2015.
"A factor-augmented VAR analysis of business cycle synchronization in east Asia and implications for a regional currency union,"
International Review of Economics & Finance, Elsevier, vol. 39(C), pages 449-468.
- Hyeon-seung Huh & David Kim & Won Joong Kim & Cyn-Young Park, 2013. "A Factor-augmented VAR Analysis of Business Cycle Synchronization in East Asia and Implications for a Regional Currency Union," Working papers 2013rwp-58, Yonsei University, Yonsei Economics Research Institute.
- Everaert, Gerdie & Iseringhausen, Martin, 2018.
"Measuring the international dimension of output volatility,"
Journal of International Money and Finance, Elsevier, vol. 81(C), pages 20-39.
- Gerdie Everaert & Martin Iseringhausen, 2017. "Measuring The International Dimension Of Output Volatility," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 17/928, Ghent University, Faculty of Economics and Business Administration.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2010.
"Business Cycles in the Euro Area,"
NBER Chapters, in: Europe and the Euro, pages 141-167,
National Bureau of Economic Research, Inc.
- Domenico Giannone & Michele Lenza, 2009. "Business cycles in the euro area," Research Bulletin, European Central Bank, vol. 8, pages 5-7.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the Euro Area," NBER Working Papers 14529, National Bureau of Economic Research, Inc.
- Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the euro Area," Working Papers ECARES 2008_040, ULB -- Universite Libre de Bruxelles.
- Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2009. "Business Cycles in the Euro Area," CEPR Discussion Papers 7124, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia & Lenza, Michele, 2009. "Business cycles in the euro area," Working Paper Series 1010, European Central Bank.
- Carriero, Andrea & Kapetanios, George & Marcellino, Massimiliano, 2016.
"Structural analysis with Multivariate Autoregressive Index models,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 332-348.
- Marcellino, Massimiliano & Kapetanios, George & Carriero, Andrea, 2015. "Structural Analysis with Multivariate Autoregressive Index Models," CEPR Discussion Papers 10801, C.E.P.R. Discussion Papers.
- Koop, Gary & Korobilis, Dimitris, 2014.
"A new index of financial conditions,"
European Economic Review, Elsevier, vol. 71(C), pages 101-116.
- Gary Koop & Dimitris Korobilis, "undated". "A new index of financial conditions," Working Papers 2013_06, Business School - Economics, University of Glasgow.
- Gary, Koop & Dimitris, Korobilis, 2013. "A New Index of Financial Conditions," SIRE Discussion Papers 2013-48, Scottish Institute for Research in Economics (SIRE).
- Gary Koop & Dimitris Korobilis, 2013. "A new index of financial conditions," Working Papers 1307, University of Strathclyde Business School, Department of Economics.
- Koop, Gary & Korobilis, Dimitris, 2013. "A New Index of Financial Conditions," MPRA Paper 45463, University Library of Munich, Germany.
- Angela Abbate & Sandra Eickmeier & Wolfgang Lemke & Massimiliano Marcellino, 2016.
"The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(4), pages 573-601, June.
- Marcellino, Massimiliano & Eickmeier, Sandra & Lemke, Wolfgang, 2011. "The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR," CEPR Discussion Papers 8341, C.E.P.R. Discussion Papers.
- Eickmeier, Sandra & Lemke, Wolfgang & Marcellino, Massimiliano, 2011. "The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR," Discussion Paper Series 1: Economic Studies 2011,05, Deutsche Bundesbank.
- Değerli, Ahmet & Fendoğlu, Salih, 2015.
"Reserve option mechanism as a stabilizing policy tool: Evidence from exchange rate expectations,"
International Review of Economics & Finance, Elsevier, vol. 35(C), pages 166-179.
- Ahmet Degerli & Salih Fendoglu, 2013. "Reserve Option Mechanism as a Stabilizing Policy Tool : Evidence from Exchange Rate Expectations," Working Papers 1328, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2017.
"Tracking the Slowdown in Long-Run GDP Growth,"
The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 343-356, May.
- Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2014. "Tracking the Slowdown in Long-Run GDP Growth," Discussion Papers 1604, Centre for Macroeconomics (CFM), revised Jan 2016.
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2016. "Tracking the slowdown in long-run GDP growth," Bank of England working papers 587, Bank of England.
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2017. "Tracking the slowdown in long-run GDP growth," LSE Research Online Documents on Economics 81869, London School of Economics and Political Science, LSE Library.
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2016. "Tracking the slowdown in long-run GDP growth," LSE Research Online Documents on Economics 86243, London School of Economics and Political Science, LSE Library.
- Garratt, Anthony & Lee, Kevin & Shields, Kalvinder, 2016. "Forecasting global recessions in a GVAR model of actual and expected output," International Journal of Forecasting, Elsevier, vol. 32(2), pages 374-390.
- Neely, Christopher J. & Rapach, David E., 2011. "International comovements in inflation rates and country characteristics," Journal of International Money and Finance, Elsevier, vol. 30(7), pages 1471-1490.
- Arce-Alfaro, Gabriel & Blagov, Boris, 2021. "Heterogeneity, co-movements and financial fragmentation within the euro area," Ruhr Economic Papers 927, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Jésus Fernández-Villaverde & Tomohide Mineyama & Dongho Song & Jesús Fernández-Villaverde, 2024.
"Are We Fragmented Yet? Measuring Geopolitical Fragmentation and Its Causal Effects,"
CESifo Working Paper Series
11192, CESifo.
- Jesus Fernandez-Villaverde & Tomohide Mineyama & Dongho Song, 2024. "Are We Fragmented Yet? Measuring Geopolitical Fragmentation and Its Causal Effects," PIER Working Paper Archive 24-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Jesús Fernández-Villaverde & Tomohide Mineyama & Dongho Song, 2024. "Are We Fragmented Yet? Measuring Geopolitical Fragmentation and Its Causal Effect," NBER Working Papers 32638, National Bureau of Economic Research, Inc.
- Fernández-Villaverde, Jesús & Mineyama, Tomohide & Song, Dongho, 2024. "Are We Fragmented Yet? Measuring Geopolitical Fragmentation and Its Causal Effects," CEPR Discussion Papers 19184, C.E.P.R. Discussion Papers.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2016.
"Common Drifting Volatility in Large Bayesian VARs,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 375-390, July.
- Andrea CARRIERO & Todd E. CLARK & Massimiliano MARCELLINO, 2012. "Common Drifting Volatility in Large Bayesian VARs," Economics Working Papers ECO2012/08, European University Institute.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012. "Common drifting volatility in large Bayesian VARs," Working Papers (Old Series) 1206, Federal Reserve Bank of Cleveland.
- Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2012. "Common Drifting Volatility in Large Bayesian VARs," CEPR Discussion Papers 8894, C.E.P.R. Discussion Papers.
- Hilde C. Bjørnland & Leif Anders Thorsrud, 2019.
"Commodity prices and fiscal policy design: Procyclical despite a rule,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 161-180, March.
- Hilde C. Bjørnland & Leif Anders Thorsrud, 2015. "Commodity prices and fiscal policy design: Procyclical despite a rule," Working Papers No 5/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Hilde C. Bjornland & Leif Anders Thorsrud, 2016. "Commodity prices and fiscal policy design: Procyclical despite a rule," CAMA Working Papers 2016-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Iseringhausen, Martin, 2024.
"A time-varying skewness model for Growth-at-Risk,"
International Journal of Forecasting, Elsevier, vol. 40(1), pages 229-246.
- Martin Iseringhausen, 2021. "A time-varying skewness model for Growth-at-Risk," Working Papers 49, European Stability Mechanism.
- Sandra Eickmeier & Wolfgang Lemke & Massimiliano Marcellino, 2015. "Classical time varying factor-augmented vector auto-regressive models—estimation, forecasting and structural analysis," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(3), pages 493-533, June.
- Enders, Zeno & Jung, Philip & Müller, Gernot J., 2013.
"Has the Euro changed the business cycle?,"
European Economic Review, Elsevier, vol. 59(C), pages 189-211.
- Enders, Zeno & Jung, Philip & Müller, Gernot J., 2009. "Has the Euro changed the Business Cycle?," Bonn Econ Discussion Papers 6/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Müller, Gernot & Enders, Zeno & Jung, Philip, 2012. "Has the Euro changed the Business Cycle?," CEPR Discussion Papers 9233, C.E.P.R. Discussion Papers.
- Zeno Enders & Gernot J. Müller, 2010. "Has the Euro changed the Business Cycle?," Working Papers 162, Oesterreichische Nationalbank (Austrian Central Bank).
- Allayioti, Anastasia & Venditti, Fabrizio, 2024. "The role of comovement and time-varying dynamics in forecasting commodity prices," Working Paper Series 2901, European Central Bank.
- Bettendorf, Timo & Karadimitropoulou, Aikaterini, 2023.
"Time-variation in the effects of push and pull factors on portfolio flows: Evidence from a Bayesian dynamic factor model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
- Bettendorf, Timo & Karadimitropoulou, Aikaterini, 2022. "Time-variation in the effects of push and pull factors on portfolio flows: Evidence from a Bayesian dynamic factor model," Discussion Papers 05/2022, Deutsche Bundesbank.
- Richard Audoly & Martín Almuzara & Davide Melcangi, 2023. "A Measure of Trend Wage Inflation," Staff Reports 1067, Federal Reserve Bank of New York.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2022.
"The global component of inflation volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 700-721, June.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2018. "The global component of inflation volatility," Temi di discussione (Economic working papers) 1170, Bank of Italy, Economic Research and International Relations Area.
- Marcellino, Massimiliano & Carriero, Andrea & Corsello, Francesco, 2019. "The Global Component of Inflation Volatility," CEPR Discussion Papers 13470, C.E.P.R. Discussion Papers.
- Filippo Ferroni & Benjamin Klaus, 2015.
"Euro Area business cycles in turbulent times: convergence or decoupling?,"
Applied Economics, Taylor & Francis Journals, vol. 47(34-35), pages 3791-3815, July.
- F. Ferroni & B. Klaus, 2014. "Euro Area business cycles in turbulent times: convergence or decoupling?," Working papers 522, Banque de France.
- Klaus, Benjamin & Ferroni, Filippo, 2015. "Euro area business cycles in turbulent times: convergence or decoupling?," Working Paper Series 1819, European Central Bank.
- Beetsma, Roel & Cimadomo, Jacopo & van Spronsen, Josha, 2024.
"One scheme fits all: A central fiscal capacity for the EMU targeting eurozone, national and regional shocks,"
European Economic Review, Elsevier, vol. 165(C).
- Beetsma, Roel & Cimadomo, Jacopo & van Spronsen, Josha, 2022. "One Scheme Fits All: A Central Fiscal Capacity for the EMU Targeting Eurozone, National and Regional Shocks," CEPR Discussion Papers 16829, C.E.P.R. Discussion Papers.
- Beetsma, Roel & Cimadomo, Jacopo & van Spronsen, Josha, 2022. "One scheme fits all: a central fiscal capacity for the EMU targeting eurozone, national and regional shocks," Working Paper Series 2666, European Central Bank.
- Eller, Markus & Huber, Florian & Schuberth, Helene, 2020.
"How important are global factors for understanding the dynamics of international capital flows?,"
Journal of International Money and Finance, Elsevier, vol. 109(C).
- Eller, Markus & Huber, Florian & Schuberth, Helene, 2018. "How Important are Global Factors for Understanding the Dynamics of International Capital Flows?," Working Papers in Economics 2018-2, University of Salzburg.
- Probst, Julius, 2019. "Global real interest rate dynamics from the late 19th century to today," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 522-547.
- Sybille Lehwald, 2013.
"Has the Euro changed business cycle synchronization? Evidence from the core and the periphery,"
Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 40(4), pages 655-684, November.
- Sybille Lehwald, 2012. "Has the Euro Changed Business Cycle Synchronization? Evidence from the Core and the Periphery," ifo Working Paper Series 122, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Gupta, Rangan & Ma, Jun & Risse, Marian & Wohar, Mark E., 2018.
"Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty,"
Journal of Macroeconomics, Elsevier, vol. 57(C), pages 317-337.
- Rangan Gupta & Jun Ma & Marian Risse & Mark E. Wohar, 2017. "Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty," Working Papers 201766, University of Pretoria, Department of Economics.
- Ippei Fujiwara & Koji Takahashi, 2012.
"Asian Financial Linkage: Macro‐Finance Dissonance,"
Pacific Economic Review, Wiley Blackwell, vol. 17(1), pages 136-159, February.
- Ippei Fujiwara & Koji Takahashi, 2011. "Asian financial linkage: macro-finance dissonance," Globalization Institute Working Papers 92, Federal Reserve Bank of Dallas.
- Ippei Fujiwara & Koji Takahashi, 2011. "Asian Financial Linkage: Macro-Finance Dissonance," Bank of Japan Working Paper Series 11-E-6, Bank of Japan.
- Aslanidis, Nektarios & Hartigan, Luke, 2021. "Is the assumption of constant factor loadings too strong in practice?," Economic Modelling, Elsevier, vol. 98(C), pages 100-108.
- Canova, Fabio & Ciccarelli, Matteo, 2013.
"Panel vector autoregressive models: a survey,"
Working Paper Series
1507, European Central Bank.
- Canova, Fabio & Ciccarelli, Matteo, 2013. "Panel Vector Autoregressive Models: A Survey," CEPR Discussion Papers 9380, C.E.P.R. Discussion Papers.
- Ductor, Lorenzo & Leiva-Leon, Danilo, 2016.
"Dynamics of global business cycle interdependence,"
Journal of International Economics, Elsevier, vol. 102(C), pages 110-127.
- Lorenzo Ductor & Danilo Leiva-Leon, 2015. "Dynamics of Global Business Cycles Interdependence," Working Papers Central Bank of Chile 763, Central Bank of Chile.
- Christophe Andre & David Gabauer & Rangan Gupta, 2020. "Time-Varying Spillovers between Housing Sentiment and Housing Market in the United States," Working Papers 202091, University of Pretoria, Department of Economics.
- Caporale, Guglielmo Maria & De Santis, Roberta & Girardi, Alessandro, 2015.
"Trade intensity and output synchronisation: On the endogeneity properties of EMU,"
Journal of Financial Stability, Elsevier, vol. 16(C), pages 154-163.
- Guglielmo Maria Caporale & Roberta De Santis & Alessandro Girardi, 2013. "Trade Intensity And Output Synchronisation: On The Endogeneity Properties Of Emu," Working Papers LuissLab 13105, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Guglielmo Maria Caporale & Roberta De Santis & Alessandro Girardi, 2013. "Trade Intensity and Output Synchronisation: On the Endogeneity Properties of EMU," Discussion Papers of DIW Berlin 1277, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Roberta De Santis & Alessandro Girardi, 2013. "Trade Intensity and Output Synchronisation: On the Endogeneity Properties of EMU," CESifo Working Paper Series 4172, CESifo.
- Catherine Doz & Peter Fuleky, 2019.
"Dynamic Factor Models,"
Working Papers
2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," Post-Print halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
- Mike West, 2020. "Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 1-31, February.
- André, Christophe & Gabauer, David & Gupta, Rangan, 2021. "Time-varying spillovers between housing sentiment and housing market in the United States☆," Finance Research Letters, Elsevier, vol. 42(C).
- Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014.
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Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, May.
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