10 datasets found

This paper introduces a novel panel approach to structural vector autoregressive analysis. For identification, we impose independence of structural innovations at the pooled...

The paper aims to identify those factors that cause changes in the speed and strength of the international transmission of output shocks from the USA to specified European...

This paper presents a quarterly global model combining individual country vector error-correcting models in which the domestic variables are related to the country-specific...

This paper establishes stylized facts on comovements and heterogeneity of individual euro area countries' output and price developments in the past two decades. For this...

Using parametric and non-parametric estimation techniques, we analyze the sustainability of the recently growing current account imbalances in the euro area and test whether the...

In this paper we modify the expectation maximization algorithm in order to estimate the parameters of the dynamic factor model on a dataset with an arbitrary pattern of missing...

Empirical modelling of the linkages between the euro area and the USA requires an open economy framework. The methodology proposed in this paper achieves identification of a...

We introduce longitudinal factor analysis (LFA) to extract the common risk-free (CRF) rate from a sample of sovereign bonds of countries in a monetary union. Since LFA exploits...

The proposed panel Markov-switching VAR model accommodates changes in low and high data frequencies and incorporates endogenous time-varying transition matrices of...

EuroMInd- D is a density estimate of monthly gross domestic product (GDP) constructed according to a bottom-up approach, pooling the density estimates of 11 GDP components, by...