| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2325 |
| DP2325 Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank | |
| Xavier Freixas; Jean Charles Rochet; Bruno Parigi | |
| 发表日期 | 1999-12-17 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | This paper analyzes identification conditions, and proposes an estimator, for a dynamic factor model where the idiosyncratic components are allowed to be mutually non-orthogonal. This model, which we call the generalized dynamic factor model, is novel to the literature, and generalizes the static approximate factor model of Chamberlain and Rothschild (1983), as well as the exact factor model à la Sargent and Sims (1977). We propose an estimator of the common components and prove convergence as both time and cross-sectional size go to infinity at appropriate rates. Simulations yield encouraging results in small samples. We use our model to construct an index of the state of the economy for the European currency area. Such an index is defined as the common component of real GDP within a model including several macroeconomic variables for each European country. |
| 主题 | International Macroeconomics |
| 关键词 | Coincident indicators Dynamic factor models Dynamic principal components series |
| URL | https://cepr.org/publications/dp2325 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/531416 |
| 推荐引用方式 GB/T 7714 | Xavier Freixas,Jean Charles Rochet,Bruno Parigi. DP2325 Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank. 1999. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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