Results 271 to 280 of about 17,888 (310)

Factor-Augmented VARMA Models With Macroeconomic Applications

Journal of Business & Economic Statistics, 2013
We study the relationship between VARMA and factor representations of a vector stochastic process. We observe that, in general, vector time series and factors cannot both follow finite-order VAR models. Instead, a VAR factor dynamics induces a VARMA process, while a VAR process entails VARMA factors.
Jean-Marie Dufour, Dalibor Stevanovic
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Macroeconomic factors and crime rates

2023
El principal objetivo de esta tesis de es demostrar empíricamente qué factores económicos afectan a los índices de delincuencia. La metodología utilizada en esta investigación es un modelo de Panel con los índices de robos como variable dependiente.
Pons Zaragoza, Lara, Universitat Autònoma de Barcelona. Facultat d'Economia i Empresa   +1 more
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Macroeconomic factors of exchange rate volatility

Studies in Economics and Finance, 2007
PurposeThe purpose of this study is to examine the factors of exchange rate volatility from the macroeconomic perspective for four neighbouring ASEAN economies.Design/methodology/approachThis study has scrutinised the link between macroeconomic factors and exchange rate volatility in both the short and the long run by applying econometrics techniques ...
Chong Lee‐Lee, Tan Hui‐Boon
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Macroeconomic Risks in Equity Factor Investing

The Journal of Portfolio Management, 2019
There is a consensus that equity factors are cyclical and depend on macroeconomic conditions. To build well-diversified portfolios of factors, one needs to account for the fact that different factors may have similar dependencies on macroeconomic conditions.
Noël Amenc, Mikheil Esakia, Felix Goltz, Ben Luyten   +3 more
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Macroeconomic Factors and Microlevel Bank Behavior

Journal of Money, Credit and Banking, 2014
We analyze the link between banks and the macroeconomy using a model that extends a macroeconomic VAR for the U.S. with a set of factors summarizing conditions in about 1,500 commercial banks. We investigate how macroeconomic shocks are transmitted to individual banks and obtain the following main findings.
CLAUDIA M. BUCH, SANDRA EICKMEIER, ESTEBAN PRIETO   +2 more
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Macroeconomic Factors of Post-crisis Growth

Voprosy Ekonomiki, 2004
Russia has managed to achieve spectacular success after the 1998 crisis. High rates of economic growth have been first of all conditioned by low level of industrial capacity utilization in the pre-crisis period. Other factors have also played an important role: the positive conjuncture of world oil prices; dynamics of relative prices; changes in ...
C. Rühl, A. Morozov, S. Ulatov, V. Drebentsov, O. Antimonova   +4 more
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Macroeconomic Factors and Insurer Rating Transitions

SSRN Electronic Journal, 2010
This paper examines macroeconomic factors and their relationship to property-liability insurer rating transitions. We find that intensities of insurer rating upgrades and downgrades are significantly related to macroeconomic and market covariates. In particular, controlling for firm-specific characteristics including rating history, firm size, business
Yuling Wang, James M. Carson
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Macroeconomic Factors and Bank Risk

2010
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a Factor Augmented Vector Autoregressive Model (FAVAR) which extends a standard VAR for the U.S. macroeconomy with a set of factors summarizing conditions in the banking sector.
Prieto, Esteban, Buch, Claudia M., Eickmeier, Sandra   +2 more
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Antidumping Procedures and Macroeconomic Factors

2006
This paper aims at extending some recent publications about the relationship between antidumping filings and macroeconomic factors by comparing the United States (US) and the European Union (EU), two major users of antidumping procedures. Results of our estimations confirm that the exchange rate exerts a similar influence in the two countries ...
Mustapha Sadni Jallab, René Sandretto, Monnet Gbakou   +2 more
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Macroeconomic factors in interest rate modelling

2020
Diese Masterarbeit beschäftigt sich mit Zinsstruktur-Modellen die makroökonomische Faktoren integrieren und geeignet sind für die Anwendung im Schulden-und Risikomanagements eines Staates. Dabei sind die Hauptanforderungen eine solide Modellierung und Prognose von Zinsstrukturdynamiken als auch eine Beschreibung der Interaktionen mit den ...
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