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1. |
Title:
Systemic Real and Financial Risks: Measurement, Forecasting, and Stress Testing
Author/Editor: De Nicoló, Gianni ; Lucchetta, Marcella
Series: Working Paper No. 12/58
Published: February 1, 2012
Subject(s): Economic indicators | Financial risk | Forecasting models | Group of seven | Time series
Author's keyword(s):
Systemic Risks
| Dynamic Factor Model
| Quantile Auto-regressions
| Density Forecasts
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2. |
Title:
Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model
Author/Editor: Kryshko, Maxym
Series: Working Paper No. 11/219
Published: September 1, 2011
Subject(s): Business cycles | Economic models | Monetary policy
Author's keyword(s):
Regular and data-rich DSGE models; dynamic factor models; Bayesian estimation
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3. |
Title:
Data-Rich DSGE and Dynamic Factor Models
Author/Editor: Kryshko, Maxym
Series: Working Paper No. 11/216
Published: September 1, 2011
Subject(s): Economic models | Monetary policy
Author's keyword(s):
Data-rich DSGE models; dynamic factor models; Bayesian estimation
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4. |
Title:
Globalization, the Business Cycle, and Macroeconomic Monitoring
Author/Editor: Aruoba, S. Boragan ; Diebold, Francis X. ; Kose, M. Ayhan ; Terrones, Marco
Series: Working Paper No. 11/25
Published: February 1, 2011
Subject(s): Business cycles | Cross country analysis | Globalization | Group of seven
Author's keyword(s):
Expansion
| Contraction
| Recession
| Turning Point
| Dynamic factor model
| Nowcasting
| Real-time analysis
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5. |
Title:
Systemic Risks and the Macroeconomy
Author/Editor: De Nicoló, Gianni ; Lucchetta, Marcella
Series: Working Paper No. 10/29
Published: February 1, 2010
Subject(s): Banking sector | Capital markets | Economic forecasting | Economic indicators | Economic models | External shocks | Financial risk | Group of seven | International financial system | Time series
Author's keyword(s):
Systemic Risk
| Dynamic Factor Model
| Quantile Regressions
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6. |
Title:
Are Financial Crises Alike?
Author/Editor: Dungey, Mardi ; Fry, Renee ; González-Hermosillo, Brenda ; Martin, Vance ; Tang, Chrismin
Series: Working Paper No. 10/14
Published: January 1, 2010
Subject(s): Banking crisis | Capital markets | Cross country analysis | Developed countries | Economic models | Emerging markets | External shocks | Financial crisis | Spillovers
Author's keyword(s):
Financial crises
| Contagion
| Factor models
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7. |
Title:
A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle
Author/Editor: Al-Hassan, Abdullah
Series: Working Paper No. 09/73
Published: April 1, 2009
Subject(s): Business cycles | Cooperation Council for the Arab States of the Gulf | Monetary unions | Monetary policy | Gross domestic product | Economic growth | Economic models | Cross country analysis
Author's keyword(s):
GCC monetary union
| factor models
| GDFM
| and business cycle indicators.
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8. |
Title:
Forces Driving Inflation in the New EU10 Members
Author/Editor: Stavrev, Emil
Series: Working Paper No. 09/51
Published: March 1, 2009
Subject(s): Inflation | European Union | Economic integration | Economic models | Cross country analysis
Author's keyword(s):
Inflation
| generalized dynamic factor model
| price convergence
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9. |
Title:
Recent French Export Performance: Is There a Competitiveness Problem?
Author/Editor: Kabundi, Alain N. ; Nadal-De Simone, Francisco
Series: Working Paper No. 09/2
Published: January 1, 2009
Subject(s): Export competitiveness | Performance indicators | Terms of trade | International trade | Exports | Trade models | Productivity | Euro Area | France
Author's keyword(s):
Competitiveness
| Dynamic Factor Models
| Productivity
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10. |
Title:
The ECB’s Monetary Analysis Revisited
Author/Editor: Berger, Helge ; Harjes, Thomas ; Stavrev, Emil
Series: Working Paper No. 08/171
Published: July 1, 2008
Subject(s): European Central Bank | Monetary policy | Central bank policy | Economic models | Asset prices | Consumer prices | Financial sector | Money
Author's keyword(s):
ECB
| monetary analysis
| monetary pillar
| New Keynesian model
| DSGE model
| P* model
| Two-pillar Phillips curve
| VAR model
| generalized dynamic factor model
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11. |
Title:
The Information Content of Money in Forecasting Euro Area Inflation
Author/Editor: Berger, Helge ; Stavrev, Emil
Series: Working Paper No. 08/166
Published: July 1, 2008
Subject(s): Euro Area | Money | Inflation | Forecasting models | Monetary policy | Economic models
Author's keyword(s):
Information content of money
| inflation forecasting
| New Keynesian model
| DSGE model
| P* model
| Two-pillar Phillips curve
| VAR model
| general dynamic factor model
| Bayesian estimation
| euro area
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12. |
Title:
Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System
Author/Editor: Gray, Dale F. ; Walsh, James P
Series: Working Paper No. 08/89
Published: April 1, 2008
Subject(s): Banking systems | Chile | Pricing policy | Capital markets | Credit risk | Economic models
Author's keyword(s):
contingent claims analysis
| credit risk
| factor model
| VAR
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13. |
Title:
France in the Global Economy: A Structural Approximate Dynamic Factor Model Analysis
Author/Editor: Kabundi, Alain N. ; Nadal-De Simone, Francisco
Series: Working Paper No. 07/129
Published: June 1, 2007
Subject(s): Economic models | Business cycles | France
Author's keyword(s):
Dynamic factor models
| international business cycles
| sign restrictions
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14. |
Title:
Common Factors in Latin America's Business Cycles
Author/Editor: Aiolfi, Marco ; Catão, Luis ; Timmermann, Allan
Series: Working Paper No. 06/49
Published: February 1, 2006
Subject(s): Business cycles | Latin America | Argentina | Brazil | Chile | Mexico | Economic models
Author's keyword(s):
Business cycles
| factor models
| Latin America
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15. |
Title:
Estimation of Economic Growth in France Using Business Survey Data
Author/Editor: Kabundi, Alain N.
Series: Working Paper No. 04/69
Published: April 1, 2004
Subject(s): Economic growth | France | Forecasting models | Data collection | Data analysis
Author's keyword(s):
Dynamic factor models
| survey data
| economic forecasting
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16. |
Title:
Are They All in the Same Boat? The 2000-2001 Growth Slowdown and the G-7 Business Cycle Linkages
Author/Editor: Helbling, Thomas ; Bayoumi, Tamim
Series: Working Paper No. 03/46
Published: March 1, 2003
Subject(s): International trade | Business cycles | Economic growth | Economic models
Author's keyword(s):
Business Cycles
| International Business Cycles
| Dynamic Factor Models
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17. |
Title:
The Impact of the EMU on the Structure of European Equity Returns - An Empirical Analysis of the First 21 Months
Author/Editor: Kraus, Thomas
Series: Working Paper No. 01/84
Published: June 1, 2001
Subject(s): European Economic and Monetary Union | Euro | Capital markets | Industry | Economic models
Author's keyword(s):
Euro
| EMU
| equity markets
| correlations
| industry sectors
| factor models
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