scholarly journals Relative Goods' Prices, Pure Inflation, and The Phillips Correlation

2010 ◽  
Vol 2 (3) ◽  
pp. 128-157 ◽  
Author(s):  
Ricardo Reis ◽  
Mark W Watson
Keyword(s):  
Factor Model ◽  
The United States ◽  
Relative Price ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
Price Shocks ◽  
Real Activity ◽  
Price Changes ◽  
Inflation Rates ◽  
Low Dimensional

This paper uses a dynamic factor model for the quarterly changes in consumption goods' prices in the United States since 1959 to separate them into three independent components: idiosyncratic relative-price changes, a low-dimensional index of aggregate relative-price changes, and an index of equiproportional changes in all inflation rates that we label “pure” inflation. We use the estimates to answer two questions. First, what share of the variability of inflation is associated with each component, and how are they related to conventional measures of monetary policy and relative-price shocks? Second, what drives the Phillips correlation between inflation and measures of real activity? (JEL E21, E23, E31, E52)

Dynamic factor model for network traffic state forecast

2018 ◽  
Vol 118 ◽  
pp. 281-317 ◽  
Author(s):  
Tao Ma ◽  
Zhou Zhou ◽  
Constantinos Antoniou
Keyword(s):  
Network Traffic ◽  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
Traffic State

INTERNATIONAL OUTPUT AND INFLATION UNCERTAINTY AND THEIR IMPACT ON COUNTRIES' MACROECONOMIC PERFORMANCE. EVIDENCE FROM A DYNAMIC FACTOR GARCH-IN-MEAN MODEL

2018 ◽  
Vol 22 (5) ◽  
pp. 1113-1133 ◽  
Author(s):  
Tino Berger ◽  
Sibylle Grabert
Keyword(s):  
Factor Model ◽  
Output Growth ◽  
Dynamic Factor ◽  
International Level ◽  
Macroeconomic Performance ◽  
Inflation Uncertainty ◽  
Inflation Rates ◽  
Oil Crisis ◽  
The Impact ◽  
Country Specific

We identify international output and inflation uncertainty and analyze their impact on individual countries' macroeconomic performance. Output and inflation uncertainty on an international level is measured through the conditional variances of common factors in inflation and output growth, estimated from a bivariate dynamic factor model with GARCH errors. The impact of international and country-specific uncertainty is analyzed by including the conditional variances as regressors. We find increases in uncertainty during the first and second oil crisis, the 1980s and 1990s recessions as well as the recent Great Recession to be confined to the international level. The effect of international uncertainty results to be highly significant and unambiguously negative on countries' output growth and inflation rates whereas the impact of country-specific uncertainty is very mixed.

scholarly journals Dynamic factor model with infinite‐dimensional factor space: Forecasting

2018 ◽  
Vol 33 (5) ◽  
pp. 625-642 ◽  
Author(s):  
Mario Forni ◽  
Alessandro Giovannelli ◽  
Marco Lippi ◽  
Stefano Soccorsi
Keyword(s):  
Factor Model ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
Factor Space ◽  
Infinite Dimensional

Measuring the Output Gap using Large Datasets

2021 ◽  
pp. 1-45
Author(s):  
Matteo Barigozzi ◽  
Matteo Luciani
Keyword(s):  
Factor Model ◽  
Theoretical Models ◽  
Output Growth ◽  
Output Gap ◽  
Dynamic Factor ◽  
Dynamic Factor Model ◽  
Goods And Services ◽  
Long Run ◽  
Slow Drift ◽  
Macroeconomic Indicators

Abstract We propose a new measure of the output gap based on a dynamic factor model that is estimated on a large number of U.S. macroeconomic indicators and which incorporates relevant stylized facts about macroeconomic data (co-movements, non-stationarity, and the slow drift in long-run output growth over time). We find that, (1) from the mid-1990s to 2008, the U.S. economy operated above its potential; and, (2) in 2018:Q4, the labor market was tighter than the market for goods and services. Because it is mainly data-driven, our measure is a natural complementary tool to the theoretical models used at policy institutions.

The Benefits of Commitment to a Currency Peg: Aggregate Lessons from the Regional Effects of the 1896 U.S. Presidential Election

2020 ◽  
Vol 102 (3) ◽  
pp. 600-616 ◽  
Author(s):  
Scott L. Fulford ◽  
Felipe Schwartzman
Keyword(s):  
United States ◽  
Presidential Election ◽  
Gold Standard ◽  
Factor Model ◽  
The United States ◽  
Cross Sectional ◽  
Real Activity ◽  
Regional Effects ◽  
The One ◽  
Positive Shock

We develop a method to use the one-time cross-sectional impact of a cleanly identified shock to identify its aggregate impact through the use of a factor model. We apply this methodology to evaluate the importance of fluctuations to the commitment to a currency peg for macroeconomic outcomes during the gold standard period in the United States. The presidential election in 1896 provides a cleanly identified positive shock to commitment to the gold standard. After the election, bank leverage increased substantially, particularly in states where gold was in greater use. Using the latent factor identified by the election, we find that full commitment to gold had the potential to reduce the volatility of real activity overall by a significant amount in the last two decades of the nineteenth century, as well as substantially mitigate the economic depression starting in 1893.

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