(Downloads - 0)
For more info about our services contact : help@bestpfe.com
Table of contents
1 General Introduction
1.1 Business Cycle
1.1.1 History
1.1.2 Definition
1.1.3 Existing explanations
1.1.4 Dating of the turning points
1.2 Markov-Switching Dynamic Factor Model
1.2.1 General assumptions
1.2.2 Advantages of the MS-DFM
1.2.3 Brief literature review
1.3 Contribution
2 Introduction Générale
2.1 Cycle économique
2.1.1 Histoire
2.1.2 Définition
2.1.3 Les explications existantes
2.1.4 La datation des points de retournement
2.2 Le modèle MS-DFM (Markov-Switching Dynamic Factor Model)
2.2.1 Hypothèses générales
2.2.2 Avantages du modèle MS-DFM
2.2.3 Littérature
2.3 Contribution
3 Dating Business Cycle Turning Points for the French Economy: anMS-DFM approach
3.1 Introduction
3.2 The model and the estimation methods
3.2.1 The model
3.2.2 One-step estimation method
3.2.3 Two-step estimation method
3.3 Data, reference dating and quality indicators
3.3.1 The dataset
3.3.2 Reference dating
3.3.3 Measures of quality
3.4 Estimation results
3.4.1 One-step method
3.4.2 Two-step method
3.4.3 Comparison: one-step vs two-step
3.5 Conclusion
4 On the consistency of the two-step estimates of the MS-DFM: a Monte Carlo study
4.1 Introduction
4.2 Markov-Switching Dynamic Factor Model
4.3 Two-step estimation method
4.4 Monte Carlo simulations
4.4.1 Experimental setup
4.4.1.1 The DGP
4.4.1.2 The parameters of control
4.4.1.3 Estimation
4.4.1.4 Measures of quality
4.4.2 Simulation results
4.4.2.1 The impact of the first step
4.4.2.2 Consistency and small-sample performance of the twostep estimates ˆ( ˆ f)
4.4.3 Identification of states
4.4.4 Analysis of t-statistics
4.4.5 Other scenarios
4.5 Conclusion
5 Dynamical Interaction Between Financial and Business Cycles
5.1 Introduction
5.2 The DI-MS-FM
5.2.1 The general presentation
5.2.2 Construction of RFt and FFt
5.2.3 The interaction mechanism
5.2.4 Granger causality
5.2.5 Extension: policy analysis
5.3 Estimation and Forecasting
5.3.1 Maximum Likelihood Estimation
5.3.2 Forecasting
5.3.3 In-sample and out-of-sample performance
5.3.3.1 In-sample performance
5.3.3.2 Out-of-sample performance
5.4 Interaction between financial and business cycles in the US
5.4.1 Data description
5.4.2 Characteristics of cycles and identified interaction regimes
5.4.3 Identifying the periods of recession, financial downturn and high interdependence between the cycles
5.4.4 Robustness check
5.4.5 Transition probabilities and smoothed probabilities of future states
5.5 Conclusion
A Appendix to “Dating business cycle turning points for the French economy: an MS-DFM approach”
A.1 Datasets
A.2 One-step estimation results
A.3 Estimation results for one-step and two-step methods
B Appendix to “On the consistency of the two-step estimates of the MSDFM: A Monte-Carlo study”
B.1 Variance of the factor
B.2 Two-step estimates distribution
B.3 Results on unfiltered data
B.4 ML estimates obtained with the observable factor ft
B.5 Properties of empirical distributions of t-statistics corresponding to the two-step estimates
B.6 Simulations with various scenarios
C Appendix to “Dynamical Interaction between Financial and Business Cycles”
C.1 Composition of factors RFt and FFt
C.2 Dynamics of RFt and FFt
C.3 Robustness check
C.3.1 Alternative dataset
C.3.2 Estimation on subsets
Bibliography
