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Staff Reports, Federal Reserve Bank of New York >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/60828
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Moench, Emanuel | | en_US |
| dc.contributor.author | | Ng, Serena | | en_US |
| dc.contributor.author | | Potter, Simon | | en_US |
| dc.date.accessioned | | 2010-05-07 | | en_US |
| dc.date.accessioned | | 2012-08-17T14:35:05Z | | - |
| dc.date.available | | 2012-08-17T14:35:05Z | | - |
| dc.date.issued | | 2009 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/60828 | | - |
| dc.description.abstract | | This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework achieves dimension reduction and yet explicitly allows for heterogeneity between blocks. The model is estimated using a Markov chain Monte-Carlo algorithm that takes into account the hierarchical structure of the factors. We organize a panel of 447 series into blocks according to the timing of data releases and use a four-level model to study the dynamics of real activity at both the block and aggregate levels. While the effect of the economic downturn of 2007-09 is pervasive, growth cycles are synchronized only loosely across blocks. The state of the leading and the lagging sectors, as well as that of the overall economy, is monitored in a coherent framework. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Federal Reserve Bank of New York New York, NY | | en_US |
| dc.relation.ispartofseries | | Staff Report, Federal Reserve Bank of New York 412 | | en_US |
| dc.subject.jel | | C10 | | en_US |
| dc.subject.jel | | C20 | | en_US |
| dc.subject.jel | | C30 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Forecasting | | en_US |
| dc.subject.keyword | | monitoring | | en_US |
| dc.subject.keyword | | comovements | | en_US |
| dc.subject.keyword | | large dimensional panel | | en_US |
| dc.subject.keyword | | diffusion index | | en_US |
| dc.title | | Dynamic hierarchical factor models | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 622842811 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Staff Reports, Federal Reserve Bank of New York
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