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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

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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