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DP15978 What Moves Treasury Yields? 智库出版物
2022
作者:  Emanuel Moench;  Soroosh Soofi Siavash
收藏  |  浏览/下载:8/0  |  提交时间:2022/09/22
Term structure of interest rates  Yield curve  News shocks  Volatility shocks  Business cycle news  Structural dynamic factor models  
DP9858 Structural FECM: Cointegration in large-scale structural FAVAR models 智库出版物
2014
作者:  Anindya Banerjee;  Massimiliano Marcellino;  Igor Masten
收藏  |  浏览/下载:4/0  |  提交时间:2022/09/22
Cointegration  Dynamic factor models  Factor-augmented error correction models  Favar  Structural analysis  
DP4221 Riding the South Sea Bubble 智库出版物
2004
作者:  Peter Temin;  Hans-Joachim Voth
收藏  |  浏览/下载:2/0  |  提交时间:2022/09/22
Dynamic factor models  Structural vars  Identification  
DP3231 The Political Economy of Finance 智库出版物
2002
作者:  Marco Pagano;  Paolo Volpin
收藏  |  浏览/下载:0/0  |  提交时间:2022/09/22
Dynamic factor models  Structural vars  Identification  Equilibrium business cycle models