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Citations for "Principal components at work: The empirical analysis of monetary policy with large datasets"

by Carlo Ambrogio Favero & Massimilano Marcellino & Francesca Neglia

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  1. Kapetanios, George & Marcellino, Massimiliano, 2010. "Cross-sectional averaging and instrumental variable estimation with many weak instruments," Economics Letters, Elsevier, vol. 108(1), pages 36-39, July.
  2. Alexander Chudik & Valerie Grossman & M. Hashem Pesaran, 2014. "A Multi-Country Approach to Forecasting Output Growth Using PMIs," CESifo Working Paper Series 5100, CESifo Group Munich.
  3. He, Qing & Leung, Pak-Ho & Chong, Terence Tai-Leung, 2013. "Factor-augmented VAR analysis of the monetary policy in China," China Economic Review, Elsevier, vol. 25(C), pages 88-104.
  4. George Kapetanios & Massimiliano Marcellino, 2006. "Factor-GMM Estimation with Large Sets of Possibly Weak Instruments," Working Papers 577, Queen Mary University of London, School of Economics and Finance.
  5. Anindya Banerjee & Massimiliano Marcellino, 2008. "Factor-augmented Error Correction Models," Working Papers 335, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  6. Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," SFB 649 Discussion Papers SFB649DP2014-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  7. Massimiliano Marcellino & George Kapetanios, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 305, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  8. Korobilis, Dimitris, 2008. "Forecasting in vector autoregressions with many predictors," MPRA Paper 21122, University Library of Munich, Germany.
  9. Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
  10. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
  11. Hwee Kwan Chow & Keen Meng Choy, 2009. "Monetary Policy and Asset Prices in a Small Open Economy: A Factor-Augmented VAR Analysis for Singapore," Working Papers 11-2009, Singapore Management University, School of Economics.
  12. Alonso Gomez & John M Maheu & Alex Maynard, 2008. "Improving Forecasts of Inflation using the Term Structure of Interest Rates," Working Papers tecipa-319, University of Toronto, Department of Economics.
  13. Stephen Hansen & Michael McMahon, 2015. "Shocking Language: Understanding the macroeconomic effects of central bank communication," Discussion Papers 1537, Centre for Macroeconomics (CFM).
  14. Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
  15. Kapetanios, George & Marcellino, Massimiliano, 2006. "A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions," CEPR Discussion Papers 5620, C.E.P.R. Discussion Papers.
  16. Beyer, Andreas & Farmer, Roger E A & Henry, Jérôme & Marcellino, Massimiliano, 2005. "Factor Analysis in a New-Keynesian Model," CEPR Discussion Papers 5266, C.E.P.R. Discussion Papers.
  17. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
  18. Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC).
  19. Francisco Craveiro Dias & Maximiano Pinheiro & António Rua, 2008. "Determining the number of factors in approximate factor models with global and group-specific factors," Working Papers w200809, Banco de Portugal, Economics and Research Department.
  20. Guenter Beck & Massimiliano Marcellino, 2006. "Regional Inflation Dynamics within and across Euro Area and a Comparison with the US," Computing in Economics and Finance 2006 338, Society for Computational Economics.
  21. Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2014. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(5), pages 693-714, October.
  22. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas F. Quising, 2006. "Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach - The Case of Developing Asia," Working Papers 565, Queen Mary University of London, School of Economics and Finance.
  23. Beck, Guenter W. & Hubrich, Kirstin & Marcellino, Massimiliano, 2009. "On the importance of sectoral shocks for price-setting," CFS Working Paper Series 2009/32, Center for Financial Studies (CFS).
  24. Beck, Günter W. & Hubrich, Kirstin & Marcellino, Massimiliano, 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," Working Paper Series 0681, European Central Bank.
  25. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 27-42, March.
  26. Porshakov , Alexey & Deryugina , Elena & Ponomarenko , Alexey & Sinyakov , Andrey, 2015. "Nowcasting and short-term forecasting of Russian GDP with a dynamic factor model," BOFIT Discussion Papers 19/2015, Bank of Finland, Institute for Economies in Transition.
  27. Mönch, Emanuel, 2005. "Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach," Working Paper Series 0544, European Central Bank.
  28. In Choi, 2013. "Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons," Working Papers 1209, Research Institute for Market Economy, Sogang University.
  29. Hansen, Stephen & McMahon, Michael, 2015. "Shocking language: Understanding the macroeconomic effects of central bank communication," The Warwick Economics Research Paper Series (TWERPS) 1098, University of Warwick, Department of Economics.
  30. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," Working Papers ECARES ECARES 2011-019, ULB -- Universite Libre de Bruxelles.
  31. In Choi, 2007. "Efficient Estimation of Factor Models," Working Papers 0701, Research Institute for Market Economy, Sogang University, revised Dec 2010.
  32. Qin, Duo, 2008. "Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from Five OECD Countries," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 2, pages 1-26.
  33. Fabio C. Bagliano & Claudio Morana, 2007. "Business Cycle Comovement in the G-7: Common Shocks or Common Transmission Mechanisms?," Carlo Alberto Notebooks 40, Collegio Carlo Alberto.
  34. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Economics Working Papers ECO2008/22, European University Institute.
  35. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014. "Forecasting with factor-augmented error correction models," International Journal of Forecasting, Elsevier, vol. 30(3), pages 589-612.
  36. Sarafidis, Vasilis & Yamagata, Takashi, 2010. "Instrumental Variable Estimation of Dynamic Linear Panel Data Models with Defactored Regressors under Cross-sectional Dependence," MPRA Paper 25182, University Library of Munich, Germany.
  37. James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
  38. Gianluca Lagana, 2004. "Measuring monetary policy in the UK: a factor augmented vector autoregressive approach," Money Macro and Finance (MMF) Research Group Conference 2004 64, Money Macro and Finance Research Group.
  39. Eijffinger, S.C.W. & Mahieu, R.J. & Raes, L.B.D., 2010. "The Bond Yield Conundrum : Alternative Hypotheses and the State of the Economy," Discussion Paper 2010-121, Tilburg University, Center for Economic Research.
  40. Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach," ICER Working Papers 41-2006, ICER - International Centre for Economic Research.
  41. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2010. "Forecasting with Factor-augmented Error Correction," Discussion Papers 09-06r, Department of Economics, University of Birmingham.
  42. Harun Mirza & Lidia Storjohann, 2011. "Making a Weak Instrument Set Stronger: Factor-Based Estimation of the Taylor Rule," Bonn Econ Discussion Papers bgse13_2012, University of Bonn, Germany.
  43. Andreas Beyer & Roger E. A. Farmer & Jérôme Henry & Massimiliano Marcellino, 2007. "Factor Analysis in a Model with Rational Expectations," NBER Working Papers 13404, National Bureau of Economic Research, Inc.
  44. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2008. "How Has the Euro Changed the Monetary Transmission?," NBER Working Papers 14190, National Bureau of Economic Research, Inc.
  45. Lu, Biao & Wu, Liuren, 2009. "Macroeconomic releases and the interest rate term structure," Journal of Monetary Economics, Elsevier, vol. 56(6), pages 872-884, September.
  46. Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Quising, Pilipinas F., 2007. "Measuring Regional Market Integration in Developing Asia: a Dynamic Factor Error Correction Model (DF-ECM) Approach," Working Papers on Regional Economic Integration 8, Asian Development Bank.
  47. Hansen, Stephen & McMahon, Michael, 2016. "Shocking language: Understanding the macroeconomic effects of central bank communication," Journal of International Economics, Elsevier, vol. 99(S1), pages S114-S133.
  48. Fabio C. Bagliano & Claudio Morana, 2006. "A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling," Carlo Alberto Notebooks 28, Collegio Carlo Alberto.
  49. Andrea Beltratti & Claudio Morana, 2008. "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series 14-2008, ICER - International Centre for Economic Research.
  50. Marcellino, Massimiliano & Sivec, Vasja, 2015. "Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs," CEPR Discussion Papers 10610, C.E.P.R. Discussion Papers.
  51. Sánchez-Fung, José R., 2011. "Estimating monetary policy reaction functions for emerging market economies: The case of Brazil," Economic Modelling, Elsevier, vol. 28(4), pages 1730-1738, July.
  52. Festic, Mejra & Repina, Sebastijan & Volcjak, Robert, 2010. "Estimating Coal Price Dynamics with the Principal Components Method," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 188-212, July.
  53. Agostino Consolo, 2006. "Forecasting measures of inflation for the Estonian economy," Bank of Estonia Working Papers 2006-03, Bank of Estonia, revised 12 Nov 2006.
  54. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2009. "How Has the Euro Changed the Monetary Transmission Mechanism?," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 77-125 National Bureau of Economic Research, Inc.
  55. Zlatina Balabanova & Ralf Brüggemann, 2012. "External Information and Monetary Policy Transmission in New EU Member States: Results from FAVAR Models," Working Paper Series of the Department of Economics, University of Konstanz 2012-05, Department of Economics, University of Konstanz.
  56. Fabio Bagliano & Claudio Morana, 2008. "Factor vector autoregressive estimation: a new approach," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 15-23, June.
  57. In Choi, 2011. "Efficient Estimation of Nonstationary Factor Models," Working Papers 1101, Research Institute for Market Economy, Sogang University, revised Jun 2011.
  58. George Kapetanios & Massimiliano Marcellino, 2003. "A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions," Working Papers 489, Queen Mary University of London, School of Economics and Finance.
  59. Chudik, Alexander & Grossman, Valerie & Pesaran, M. Hashem, 2016. "A multi-country approach to forecasting output growth using PMIs," Journal of Econometrics, Elsevier, vol. 192(2), pages 349-365.
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