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https://hdl.handle.net/10419/60828
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Moench, Emanuel | en |
dc.contributor.author | Ng, Serena | en |
dc.contributor.author | Potter, Simon | en |
dc.date.accessioned | 2010-05-07 | - |
dc.date.accessioned | 2012-08-17T14:35:05Z | - |
dc.date.available | 2012-08-17T14:35:05Z | - |
dc.date.issued | 2009 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aFederal Reserve Bank of New York |cNew York, NY | en |
dc.relation.ispartofseries | |aStaff Report |x412 | en |
dc.subject.jel | C10 | en |
dc.subject.jel | C20 | en |
dc.subject.jel | C30 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Forecasting | en |
dc.subject.keyword | monitoring | en |
dc.subject.keyword | comovements | en |
dc.subject.keyword | large dimensional panel | en |
dc.subject.keyword | diffusion index | en |
dc.title | Dynamic hierarchical factor models | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 622842811 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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