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Forecasting macroeconomic variables using collapsed dynamic factor analysis

✍ Scribed by Bräuning, Falk; Koopman, Siem Jan

Book ID: 122434729
Publisher: Elsevier Science
Year: 2014
Tongue: English
Weight: 375 KB
Volume: 30
Category: Article
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2013.03.004

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## ABSTRACT We question the ability of macroeconomic data to predict risk appetite and ‘flight‐to‐quality’ periods in the European credit market using a model inspired by the Markov switching literature. This model allows for a direct mapping of exogenous variables into state probabilities. We find