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Evaluating latent and observed factors in macroeconomics and finance [PDF]
Journal of Econometrics, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jushan Bai, Serena Ng
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Macroeconomic Factors in Oil Futures Markets
Management Science, 2019This paper documents new evidence against perfect risk spanning in crude oil futures, and develops an affine futures pricing model that allows for unspanned macroeconomic factors. Compared to previous estimates, the oil spot premium is more volatile and strongly procyclical, which suggests that previous models miss the majority of variation in oil ...
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Factor-Augmented VARMA Models With Macroeconomic Applications
Journal of Business & Economic Statistics, 2013We 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 Investment in Africa
Journal of African Economics, 2001After more than a decade of implementing economic reform programmes aimed at improving the overall economic environment, investment in Africa is yet to show a robust improvement. This paper suggests that the standard macroeconomic policy variables, such as the exchange rate, trade policy, fiscal and monetary policies, and overall uncertainty explain ...
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Macroeconomic factors and crime rates
2023El 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 +1 more
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The labor factor in macroeconomic forecasts
Studies on Russian Economic Development, 2008The paper explores the state of the labor sphere and efficiency in the use of labor potential. It is proposed to create an integral (integrated) system of people-focused macroeconomic projection estimations allowing the formulation of economically and socially well-designed policy of economic growth with account of employment, work motivation and ...
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Macroeconomic Factors and Microlevel Bank Behavior
Journal of Money, Credit and Banking, 2014We 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 +2 more
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A macroeconomic assessment of strategic factors in professional services
Services Marketing Quarterly, 1998ABSTRACT This paper reports on some exploratory research that relates to profitability in professional services as affected by strategic marketing/management factors. Cross-sectional results from seventeen professional service segments were analyzed using available census and association delta.
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Macroeconomic Factors and Bank Risk
2010The 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 +2 more
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Macroeconomic uncertainty and natural gas prices: Revisiting the Asian Premium
Energy Economics, 2021Xunpeng Shi, Yifan Shen
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