Sandra Eickmeier

Deutsche Bundesbank

Wilhelm-Epstein-Strasse 14

Frankfurt/Main D-60431

Germany

SCHOLARLY PAPERS

29

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125

Scholarly Papers (29)

1.
Downloads 549 ( 41,253)
Citation 30

Dynamic Factor Models

Journal of the German Statistical Society, Vol. 90, No. 1, pp. 27-40, 2006
Number of pages: 40 Posted: 30 Nov 2005
Jörg Breitung and Sandra Eickmeier
University of Bonn and Deutsche Bundesbank
Downloads 503 (45,582)
Citation 30

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Principal components, dynamic factors, forecasting

Dynamic Factor Models

Bundesbank Series 1 Discussion Paper No. 2005,38
Number of pages: 40 Posted: 08 Jun 2016
Jörg Breitung and Sandra Eickmeier
University of Bonn and Deutsche Bundesbank
Downloads 46 (354,880)
Citation 30

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Principal components, dynamic factors, forecasting

2.
Downloads 506 ( 45,774)
Citation 12

Macroeconomic Factors and Micro-Level Bank Risk

CESifo Working Paper Series No. 3194
Number of pages: 50 Posted: 08 Oct 2010
Claudia M. Buch, Sandra Eickmeier and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and University of Tuebingen
Downloads 407 (59,420)
Citation 12

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FAVAR, bank risk, macro-finance linkages, monetary policy, microeconomic adjustment

Macroeconomic Factors and Micro-Level Bank Risk

Bundesbank Series 1 Discussion Paper No. 2010,20
Number of pages: 60 Posted: 08 Jun 2016
Claudia M. Buch, Sandra Eickmeier and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and University of Tuebingen
Downloads 99 (231,464)
Citation 12

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FAVAR, bank risk, macro-finance linkages, monetary policy, microeconomic adjustment

Macroeconomic Fluctuations and Bank Lending: Evidence for Germany and the Euro Area

Bundesbank Discussion Paper Series No. 34/2006
Number of pages: 52 Posted: 22 Aug 2006
Sandra Eickmeier, Boris Hofmann and Andreas Worms
Deutsche Bundesbank, Bank for International Settlements (BIS) - Monetary and Economic Department and Deutsche Bundesbank, Economics Department
Downloads 163 (156,169)
Citation 5

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Business cycle fluctuations, bank lending, SVAR model, sign restrictions

Macroeconomic Fluctuations and Bank Lending: Evidence for Germany and the Euro Area

Bundesbank Series 1 Discussion Paper No. 2006,34
Number of pages: 52 Posted: 08 Jun 2016
Sandra Eickmeier, Boris Hofmann and Andreas Worms
Deutsche Bundesbank, Bank for International Settlements (BIS) - Monetary and Economic Department and Deutsche Bundesbank, Economics Department
Downloads 3 (567,844)
Citation 5

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Business cycle fluctuations, bank lending, SVAR model, sign restrictions

Monetary Policy, Housing Booms and Financial (Im) Balances

ECB Working Paper No. 1178
Number of pages: 68 Posted: 26 Apr 2010
Sandra Eickmeier and Boris Hofmann
Deutsche Bundesbank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 153 (165,074)
Citation 3

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Monetary policy, asset prices, housing, private sector balance sheets, financial crisis, factor model

Monetary Policy, Housing Booms and Financial (Im)Balances

Bundesbank Series 1 Discussion Paper No. 2010,07
Number of pages: 80 Posted: 08 Jun 2016
Sandra Eickmeier and Boris Hofmann
Deutsche Bundesbank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 11 (523,910)
Citation 3

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Monetary policy, asset prices, housing, private sector balance sheets, financial crisis, factor model

5.

In Search for Yield? New Survey-Based Evidence on Bank Risk Taking

CESifo Working Paper Series No. 3375
Number of pages: 43 Posted: 24 Mar 2011
Claudia M. Buch, Sandra Eickmeier and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and University of Tuebingen
Downloads 150 (151,995)
Citation 1

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FAVAR, bank risk taking, macro-finance linkages, monetary policy, commercial property prices

How Synchronized are New EU Member States with the Euro Area? Evidence from a Structural Factor Model

Bundesbank Discussion Paper No. 20/2005
Number of pages: 33 Posted: 01 Jun 2005
Sandra Eickmeier and Jörg Breitung
Deutsche Bundesbank and University of Bonn
Downloads 141 (176,881)
Citation 11

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Dynamic factor models, international business cycles, EMU enlargement, sign restrictions

How Synchronized are New EU Member States With the Euro Area? Evidence from a Structural Factor Model

Journal of Comparative Economics, Vol. 34, pp. 538-563, 2006
Posted: 08 Aug 2006
Sandra Eickmeier
Deutsche Bundesbank

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Dynamic factor models, international business cycles, EMU enlargement, sign restrictions

How Good are Dynamic Factor Models at Forecasting Output and Inflation? A Meta-Analytic Approach

Number of pages: 38 Posted: 21 Dec 2006
Sandra Eickmeier and Christina Ziegler
Deutsche Bundesbank and CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute
Downloads 127 (192,496)
Citation 14

Abstract:

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Factor models, forecasting, meta-analysis

How Good are Dynamic Factor Models at Forecasting Output and Inflation? A Meta-Analytic Approach

Bundesbank Series 1 Discussion Paper No. 2006,42
Number of pages: 60 Posted: 08 Jun 2016
Christina Ziegler and Sandra Eickmeier
CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute and Deutsche Bundesbank
Downloads 10 (529,525)
Citation 14

Abstract:

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Factor models, forecasting, meta-analysis

Analyzing Business and Financial Cycles Using Multi-Level Factor Models

CAMA Working Paper No. 43/2014
Number of pages: 44 Posted: 31 May 2014 Last Revised: 02 Jun 2014
Jörg Breitung and Sandra Eickmeier
University of Cologne and Deutsche Bundesbank
Downloads 109 (216,068)

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Factor models, canonical correlations, international business cycles, financial cycles, business cycle asymmetries

Analyzing Business and Financial Cycles Using Multi-Level Factor Models

Bundesbank Discussion Paper No. 11/2014
Number of pages: 50 Posted: 21 Jun 2016
Sandra Eickmeier and Jörg Breitung
Deutsche Bundesbank and University of Cologne
Downloads 26 (437,204)

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factor models, canonical correlations, international business cycles, financial cycles, business cycle asymmetries

The Global Dimension of Inflation - Evidence from Factor-Augmented Phillips Curves

ECB Working Paper No. 1011
Number of pages: 46 Posted: 06 Mar 2009
Sandra Eickmeier and Katharina Moll
Deutsche Bundesbank and Johann Wolfgang Goethe University
Downloads 66 (297,326)
Citation 1

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Inflation, globalization, Phillips curves, factor models, monetary policy rules

The Global Dimension of Inflation - Evidence from Factor-Augmented Phillips Curves

Number of pages: 36 Posted: 01 Sep 2008
Sandra Eickmeier and Katharina Moll
Deutsche Bundesbank and Johann Wolfgang Goethe University
Downloads 51 (338,931)
Citation 1

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inflation, globalization, Phillips curves, factor models, monetary policy rules

The Global Dimension of Inflation: Evidence from Factor-Augmented Phillips Curves

Bundesbank Series 1 Discussion Paper No. 2008,16
Number of pages: 60 Posted: 08 Jun 2016
Sandra Eickmeier and Katharina Moll
Deutsche Bundesbank and Johann Wolfgang Goethe University
Downloads 6 (551,279)
Citation 1

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Inflation, globalization, Phillips curves, factor models, monetary policy rules

The Global Dimension of Inflation – Evidence from Factor‐Augmented Phillips Curves

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 1, pp. 103-122, 2013
Number of pages: 20 Posted: 23 Dec 2012
Sandra Eickmeier and Katharina Pijnenburg
Deutsche Bundesbank and German Institute for Economic Research (DIW Berlin)
Downloads 2 (576,435)
Citation 1
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Common Stationary and Non-Stationary Factors in the Euro Area Analyzed in a Large-Scale Factor Model

Bundesbank Discussion Paper No. 02/2005
Number of pages: 36 Posted: 01 Jun 2005
Sandra Eickmeier
Deutsche Bundesbank
Downloads 93 (241,520)
Citation 5

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Dynamic factor models, factor rotation, common trends, international business cycles, international transmission channels

Common Stationary and Non-Stationary Factors in the Euro Area Analyzed in a Large-Scale Factor Model

Bundesbank Series 1 Discussion Paper No. 2005,02
Number of pages: 56 Posted: 08 Jun 2016
Sandra Eickmeier
Deutsche Bundesbank
Downloads 11 (523,910)
Citation 5

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Dynamic factor models, factor rotation, common trends, international business cycles, international transmission channels

Business Cycle Transmission from the US to Germany - A Structural Factor Approach

Bundesbank Discussion Paper No. 12/2004
Number of pages: 36 Posted: 01 Jun 2005
Sandra Eickmeier
Deutsche Bundesbank
Downloads 95 (238,152)
Citation 10

Abstract:

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International business International business cycles, international transmission channels, dynamic factor models, shock identification

Business Cycle Transmission from the US to Germany: A Structural Factor Approach

Bundesbank Series 1 Discussion Paper No. 2004,12
Number of pages: 60 Posted: 08 Jun 2016
Sandra Eickmeier
Deutsche Bundesbank
Downloads 2 (576,435)
Citation 10

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International business cycles, international transmission channels, dynamic factor models, structural VAR techniques

Comovements and Heterogeneity in the Euro Area Analyzed in a Non-Stationary Dynamic Factor Model

Bundesbank Discussion Paper No. 31/2006 (revised)
Number of pages: 49 Posted: 08 Aug 2006
Sandra Eickmeier
Deutsche Bundesbank
Downloads 92 (243,302)
Citation 7

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Dynamic factor models, sign restrictions, common trends, common cycles, international business cycles, EMU, output and inflation differentials, inflation persistence, monetary policy

Comovements and Heterogeneity in the Euro Area Analyzed in a Non-Stationary Dynamic Factor Model

Journal of Applied Econometrics, Forthcoming
Posted: 03 Sep 2008
Sandra Eickmeier
Deutsche Bundesbank

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dynamic factor models, sign restrictions, common trends, international business cycles, EMU, output and inflation differentials, monetary policy

13.
Downloads 85 (253,912)
Citation 1

Understanding Global Liquidity

BIS Working Paper No. 402
Number of pages: 36 Posted: 12 Apr 2013
Sandra Eickmeier, Leonardo Gambacorta and Boris Hofmann
Deutsche Bundesbank, Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 66 (297,326)
Citation 1

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global liquidity, monetary policy, credit supply, credit demand, international business cycles, factor model, sign restrictions

Understanding Global Liquidity

Bundesbank Discussion Paper No. 03/2013
Number of pages: 40 Posted: 21 Jun 2016
Sandra Eickmeier, Leonardo Gambacorta and Boris Hofmann
Deutsche Bundesbank, Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 19 (477,415)
Citation 1

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global liquidity, monetary policy, credit supply, credit demand, international business cycles, factor model, sign restrictions

Time-Varying Volatility, Financial Intermediation and Monetary Policy

CAMA Working Paper No. 32/2016
Number of pages: 55 Posted: 01 Jun 2016
Sandra Eickmeier, Norbert Metiu and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and University of Tuebingen
Downloads 35 (395,363)

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Monetary policy, credit spread, non-linearity, intermediary leverage, financial accelerator

Time-Varying Volatility, Financial Intermediation and Monetary Policy

Bundesbank Discussion Paper No. 46/2016
Number of pages: 49 Posted: 14 Dec 2016
Sandra Eickmeier, Norbert Metiu and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Economic Research Centre
Downloads 31 (412,419)

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monetary policy, credit spread, non-linearity, intermediary leverage, financial accelerator

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

Bundesbank Series 1 Discussion Paper No. 2011,04
Number of pages: 68 Posted: 08 Jun 2016
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 52 (335,845)
Citation 3

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FAVAR, time-varying parameters, monetary transmission, forecasting

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

CEPR Discussion Paper No. DP8321
Number of pages: 53 Posted: 18 Apr 2011
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 5 (556,415)
Citation 3
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FAVAR, forecasting, monetary transmission, time-varying parameters

How Do Credit Supply Shocks Propagate Internationally? A Gvar Approach

Bundesbank Series 1 Discussion Paper No. 2011,27
Number of pages: 64 Posted: 08 Jun 2016
Sandra Eickmeier and Tim Ng
Deutsche Bundesbank and Bank for International Settlements
Downloads 38 (383,348)
Citation 1

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international business cycles, credit supply shocks, trade and financial integration, Global VAR, sign restrictions

How do Credit Supply Shocks Propagate Internationally? A GVAR Approach

CEPR Discussion Paper No. DP8720
Number of pages: 48 Posted: 22 Dec 2011
Sandra Eickmeier and Tim Ng
Deutsche Bundesbank and Bank for International Settlements
Downloads 7 (546,011)
Citation 1
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credit supply shocks, global VAR, international business cycles, sign restrictions, trade and financial integration

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

Bundesbank Series 1 Discussion Paper No. 2011,05
Number of pages: 64 Posted: 08 Jun 2016
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 38 (383,348)
Citation 1

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international business cycles, international transmission channels, financial markets, globalization, financial conditions index, global financial crisis, timevarying FAVAR

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

CEPR Discussion Paper No. DP8341
Number of pages: 48 Posted: 20 Apr 2011
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 4 (561,830)
Citation 1
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financial conditions index, financial markets, global financial crisis, globalization, International business cycles, international transmission channels, time-varying FAVAR

Financial Shocks and Inflation Dynamics

Bundesbank Discussion Paper No. 41/2016
Number of pages: 40 Posted: 25 Oct 2016
Angela Abbate, Sandra Eickmeier and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Economic Research Centre
Downloads 30 (417,140)

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financial shocks, inflation dynamics, monetary policy, financial frictions, cost channel, sign restrictions

Financial Shocks and Inflation Dynamics

CAMA Working Paper No. 53/2016
Number of pages: 38 Posted: 02 Sep 2016 Last Revised: 29 Sep 2016
Angela Abbate, Sandra Eickmeier and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Economic Research Centre
Downloads 8 (540,698)

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Financial Shocks, Inflation Dynamics, Monetary Policy, Financial Frictions, Cost Channel, Sign Restrictions

Monetary Policy and the Oil Futures Market

Number of pages: 32 Posted: 20 Jun 2013
Sandra Eickmeier and Marco J. Lombardi
Deutsche Bundesbank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 27 (431,834)

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oil prices, monetary policy, financial activity, VAR model, sign restrictions

Monetary Policy and the Oil Futures Market

Bundesbank Discussion Paper No. 35/2012
Number of pages: 32 Posted: 21 Jun 2016
Sandra Eickmeier and Marco J. Lombardi
Deutsche Bundesbank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 8 (540,698)

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oil prices, monetary policy, financial activity, VAR model, sign restrictions

20.

The Interest Rate Pass-Through in the Euro Area During the Sovereign Debt Crisis

Bundesbank Discussion Paper No. 10/2015
Number of pages: 58 Posted: 21 Jun 2016
Julia von Borstel, Sandra Eickmeier and Leo Krippner
Deutsche Bundesbank, Deutsche Bundesbank and Reserve Bank of New Zealand
Downloads 0 (492,339)

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interest rate pass-through, factor model, sovereign debt crisis, unconventional monetary policy

21.

Time Variation in Macro-Financial Linkages

Bundesbank Discussion Paper No. 13/2013
Number of pages: 54 Posted: 21 Jun 2016
University of Tuebingen, Deutsche Bundesbank and European University Institute
Downloads 0 (536,497)
Citation 1

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financial shocks, time-varying parameter VAR model, Global Financial Crisis, macro-financial linkages

22.

China's Role in Global Inflation Dynamics

Bundesbank Discussion Paper No. 07/2013
Number of pages: 49 Posted: 21 Jun 2016
Sandra Eickmeier and Markus Kühnlenz
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 0 (476,759)

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global inflation, China, international business cycles, structural dynamic factor model, sign restrictions

23.

Testing for Structural Breaks in Dynamic Factor Models

Bundesbank Series 1 Discussion Paper No. 2009,05
Number of pages: 68 Posted: 08 Jun 2016
Jörg Breitung and Sandra Eickmeier
University of Bonn and Deutsche Bundesbank
Downloads 0 (502,751)
Citation 4

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Dynamic factor models, structural breaks, number of factors, Great Moderation, EMU

24.

In Search for Yield? Survey-Based Evidence on Bank Risk Taking

Bundesbank Series 1 Discussion Paper No. 2011,10
Number of pages: 60 Posted: 08 Jun 2016
Claudia M. Buch, Sandra Eickmeier and Esteban Prieto
Deutsche Bundesbank, Deutsche Bundesbank and University of Tuebingen
Downloads 0 (461,193)
Citation 1

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FAVAR, bank risk taking, macro-finance linkages, monetary policy, commercial property prices

25.

Comovements and Heterogeneity in the Comovements and Heterogeneity in the Dynamic Factor Model

Bundesbank Series 1 Discussion Paper No. 2006,31
Number of pages: 68 Posted: 08 Jun 2016
Sandra Eickmeier
Deutsche Bundesbank
Downloads 0 (531,749)
Citation 6

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Dynamic factor models, sign restrictions, common trends, common cycles, international business cycles, EMU, output and inflation differentials

26.

Analyse Der Übertragung Us-Amerikanischer Schocks Auf Deutschland Auf Basis Eines FAVAR

Bundesbank Series 1 Discussion Paper No. 2009,35
Number of pages: 64 Posted: 08 Jun 2016
Sandra Eickmeier
Deutsche Bundesbank
Downloads 0 (497,606)

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International business cycles, factor models, trade, financial market integration

27.

How Synchronized are Central and East European Economies with the Euro Area? Evidence from a Structural Factor Model

Bundesbank Series 1 Discussion Paper No. 2005,20
Number of pages: 68 Posted: 08 Jun 2016
Sandra Eickmeier and Jörg Breitung
Deutsche Bundesbank and University of Bonn
Downloads 0 (536,497)
Citation 6

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Dynamic factor models, international business cycles, EMU enlargement, counterfactual experiment

28.

Forecasting National Activity Using Lots of International Predictors: An Application to New Zealand

Bundesbank Series 1 Discussion Paper No. 2009,11
Number of pages: 60 Posted: 08 Jun 2016
Sandra Eickmeier and Tim Ng
Deutsche Bundesbank and Bank for International Settlements
Downloads 0 (527,213)
Citation 2

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Forecasting, factor models, shrinkage methods, principal components, targeted predictors, weighted principal components, partial least squares

29.

How Successful are Dynamic Factor Models at Forecasting Output and Inflation? A Meta-Analytic Approach

Journal of Forecasting, Forthcoming
Posted: 07 Sep 2007
Sandra Eickmeier and Christina Ziegler
Deutsche Bundesbank and CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute

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Factor models, forecasting, meta-analysis

Other Papers (1)

Total Downloads: 0    Citations: 0
1.

Business Cycle Transmission from the US to Germany - A Structural Factor Approach

European Economic Review, Vol. 51, No. 3, pp. 521-551
Posted: 01 Jun 2005
Sandra Eickmeier
Deutsche Bundesbank

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International business International business cycles, international transmission channels, dynamic factor models, shock identification