Dissecting the financial cycle with dynamic factor models

DOI10.1080/14697688.2017.1357971MaRDI QIDQ4555202zbMATH OpenOpenAlexFDO

Authors Christian Menden, Christian R. Proaño

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://www.boeckler.de/pdf/p_imk_wp_183_2017.pdf

zbMATH Keywords

dynamic factor modeldynamic probit modelsearly warning systemsfinancial cycleGranger causalityrecession forecasting

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

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Cites work

• Determining the Number of Factors in Approximate Factor Models
• Determining the Number of Factors in the General Dynamic Factor Model
• Dynamic factor models
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 3605818 (Why is no real title available?)
• Improved penalization for determining the number of factors in approximate factor models
• The varimax criterion for analytic rotation in factor analysis

Cited in

(9)

• What does financial volatility tell us about macroeconomic fluctuations?
• Measuring financial cycles in a model-based analysis: empirical evidence for the United States and the Euro area
• Measuring and predicting heterogeneous recessions
• A unified approach for jointly estimating the business and financial cycle, and the role of financial factors
• Real and financial cycles: estimates using unobserved component models for the Italian economy
• Dynamic probit models and financial variables in recession forecasting
• An approach for identifying and predicting economic recessions in real-time using time-frequency functional models
• FECM based measurement of aggregate financing to the real economy influence on macro economy
• Macro-financial dynamics: theories, empirical methods, and time scales

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