Index
Essays in Honour of Fabio Canova
ISBN: 978-1-80382-832-9, eISBN: 978-1-80382-831-2
ISSN: 0731-9053
Publication date: 21 September 2022
This content is currently only available as a PDF
Citation
(2022), "Index", Dolado, J.J., Gambetti, L. and Matthes, C. (Ed.) Essays in Honour of Fabio Canova (Advances in Econometrics, Vol. 44B), Emerald Publishing Limited, Leeds, pp. 191-196. https://doi.org/10.1108/S0731-90532022000044B006
Publisher
:Emerald Publishing Limited
Copyright © 2022 Juan J. Dolado, Luca Gambetti and Christian Matthes
INDEX
Note: Page numbers followed by ”n” indicate notes.
Acceleration cycle
, 136–137
Akaike Information Criterion
, 83
ARCH-type conditional heteroskedasticity
, 11
Asset
pricing models
, 88
types
, 154
Autocovariance function
, 108
Autoregressive models
, 2
Average pair-wise directional connectedness
, 54
Bank of England (BoE)
, 148–149, 173
Bayesian approach
, 2
Bayesian semi-parametric methodology
, 41
Beauty contest assessment criteria
, 111–115
’Beggar-thy-neighbour’ effects
, 40
Beveridge–Nelson filter (BN filter)
, 47, 101, 137–138
Bivariate model for GDE–GDI measures
, 24
Bivariate VAR
, 97
Bry and Boschan quarterly dating algorithm (BBQ dating algorithm)
, 101, 112–113
Bureau of Economic Analysis (BEA)
, 3
Business cycle (BC)
, 79–90, 100
actual cycles comparison
, 118
beauty contest assessment criteria
, 111–115
calculation
, 101–102
cyclical convergence
, 102–103
defining
, 133
gross domestic product
, 118–122
mathematics of Ten TCD methods
, 135–144
MC simulation
, 103–106, 115–118
methods used for TCD
, 106–111
power transfer functions
, 134
results and assessment
, 115
synchronization of cycles with Euro Area
, 125–128
TCD methods
, 100–101
unemployment rates
, 122–125
Butterworth–Whittaker filter (BWF)
, 100
Calibrated parameters
, 160–161
Carter and Kohn’s algorithm
, 72
Changing inflation targets
, 177
Chi-squared distributed variables
, 24
Christiano–Fitzgerald filter (CF filter) 101
, 138–140
Classical cycle
, 136
Coherence
, 115, 125
Commodity price inflation
, 54
Comovement
decomposing
, 172–174
external validation
, 177–179
forces driving
, 174–177
policy implication
, 179
understanding
, 172
’Complementary’ spillover effects
, 40
Conditional asymmetry
, 11–12, 34–35
Conditional heteroskedasticity
, 10, 11, 33
Counterfactuals
, 176–177
Covariance matrix
, 12, 34
of influence functions
, 12–13
Credit market
, 67
Credit market disruptions
and business cycle
, 79
data
, 80–82
empirical issues
, 80
Great Recession
, 79–80
identification
, 84
macroeconomic effects of, 91n9
model selection
, 82–83
results
, 84–90
Credit shocks
, 80
’Curse of dimensionality’ problem
, 42
Cycle-extraction methods
, 115
Cyclical convergence
, 125
Data generating processes (DGPs)
, 14, 67
DGPs under alternatives
, 15
and estimation under null
, 14
Debt targeting rule
, 159
Decompositions, 188n2
comovement
, 172–174
Demand functions
, 158
Deviance Information Criterium (DIC)
, 83
Diagonal matrix
, 68
Domestic effects
, 58
Domestic financial intermediaries
, 153–155
Domestic long-term interest rate
, 155
DSGE model
, 41, 149–150, 170, 179
fit
, 158
qualitative (un)importance of non-standard features in
, 188–189
Dynamic bivariate model
, 21
Dynamic factor-augmented VAR model
, 170
Econometric framework
, 68
algorithm
, 70–71
drawing state vector
, 71–72
estimation
, 69
MS2-FAVAR Model
, 68–69
priors
, 72–73
Economic events
, 38
Economy-specific monetary policy shocks
, 57
Estimation algorithm
, 94–97
Euro Area (EA)
, 38
synchronization of cycles with
, 125–128
European Central Bank (ECB)
, 38
European sovereign debt crisis
, 56
European Union (EU)
, 100
Exchange rate
, 157
Exports
, 160
External validation
, 177–179
Factor models
, 66
Factor-augmented vector autoregressive model (FAVAR model)
, 66–67, 68, 80, 170, 186
Financial crisis
, 38, 53
Financial indicators
, 66
Financial institutions
, 2
Financial intermediaries
, 153
Finite sample performance
, 74–79
First differences (FD)
, 100
Fixed-coefficient VARs
, 43
Forecasting exercise
, 97–98
Foreign long-term bonds
, 154
Foreign long-term interest rates, 181n2
Fourth-order multivariate Hermite polynomials
, 9
Frequency domain
, 107–109
Gaussian asymptotic approximation
, 13
Gaussian maximum likelihood estimators
, 8–10
Gibbs sampler estimation procedure
, 67, 70
Global financial crisis (GFC)
, 101
Goodness-of-fit
, 143
Government
, 159–160
Great Inflation
, 56
Great Moderation
, 21, 38, 41, 54, 56, 58
Great Recession, 21, 50, 56, 79–80, 90, 188n3
Gross domestic expenditure (GDE)
, 3
bivariate model for GDE–GDI measures
, 24
Gross domestic income (GDI)
, 3
bivariate model for GDE–GDI measures
, 24
Gross domestic product (GDP)
, 3, 101, 118–122
Growth cycle
, 101, 103, 107, 112–114, 133, 136–137, 140
Hamilton filter (HF)
, 100, 138
Hermite polynomials
, 33
Hessian matrix
, 6
‘Heterocliticity’
, 10
Heterogeneous switching
credit market disruptions and business cycle
, 79–90
econometric framework
, 68–73
estimation algorithm
, 94–97
FAVAR model
, 66–67
forecasting exercise
, 97–98
Monte Carlo simulations
, 73–79
High-dimensional factor-augmented VAR models
, 66
Hodrick–Prescott filter (HP filter)
, 100, 115, 140–142
Households
, 157–159
Independent Normal-Wishart prior distribution
, 72
Inflation spillover effects
, 60
Inflation-target shock, 173, 188, 188n3
Influence functions
, 34
covariance matrices of
, 12–13
interpretation of
, 11–12
Information matrix test
, 2–3
of multivariate regression model
, 3–10
Interest rates155–157
spillover effects
, 59
Intermediary balance sheet
, 153–154
International long-term interest rate comovement
calibrated parameters
, 160–161
data
, 160, 189
prior distributions
, 161–165
domestic financial intermediaries
, 153–155
estimation
, 160
exchange rate
, 157
exports
, 160
firms
, 152–153
government, monetary policy and resource constraint
, 159–160
historical decompositions of USA and UK long-term interest rates
, 187–188
households
, 157–159
interest rates and term premia
, 155–157
long-term interest rate comovement
, 148
model validation
, 168–172
parameter estimates
, 165–168
posterior estimation
, 165
qualitative (un)importance of non-standard features in DSGE model
, 188–189
robustness
, 179–180
SOE
, 148–149, 151
structural vs. reduced-form analysis
, 186–187
theoretical model
, 151
understanding comovement
, 172–179
Intuition
, 174
Joint estimation approach
, 52
Kalman filter
, 168
Kernel function
, 44
Keynesian model
, 49
Labour supply curve
, 159
Lagrange multiplier (LM)
, 2
Likelihood
framework
, 2
function
, 94–95
ratio
, 2
Linear factor models
, 66
Linear FAVAR model, 91n9
Log-likelihood function
, 4
Long-term debt risk premium shock
, 172
Long-term domestic bonds
, 154
Long-term interest rates
, 148, 155, 156
comovement
, 148–149, 168, 179
domestic
, 155
UK
, 187
US
, 187
Long-term nominal interest rates
, 148
Macroeconomic indicator
, 68
Macroeconomic models
, 80
Macroeconomic variables
, 66
Markov chain Monte Carlo algorithms (MCMC algorithms)
, 39
Markov processes
, 66
Markov-switching
Bayesian VARs
, 67
factor loadings
, 67
parameters
, 66
variables
, 70
Maximal overlap discrete wavelet transformation approach (MODWT approach)
, 142
Metropolis-Hastings sampler
, 165
Model fit and moment estimates
, 168–169
Model validation
, 168
model fit and moment estimates
, 168–169
reduced-form models of comovement
, 170–172
term-premium estimates
, 169–170
Monetary policy
, 38, 49, 159–160
data and priors
, 46
empirical application
, 46
methodology
, 42–45
reduced-form evidence
, 46–53
shock analysis
, 40–41
structural analysis
, 57–60
time-varying connectedness
, 53–56
TVP model
, 38–39
Monte Carlo analysis
, 13
design
, 14–16
power of tests
, 19–20
simulation results
, 16
size properties
, 16–19
Monte Carlo exercise
, 3
Monte Carlo simulations (MC simulations)
, 73, 101, 103–106, 115–118
design
, 73–74
finite sample performance
, 74–79
Multi-state Markov-switching factor-augmented vector autoregressive model (MS2-FAVAR Model)
, 67, 68–69, 73
Multivariate Hermite polynomials
, 7
Multivariate regression model
, 3
information matrix tests of
, 3–10
Mundell–Fleming–Dornbusch model
, 40
Normal-Wishart quasi-posterior distribution
, 45
Null hypothesis
, 11
Oil shock (1973)
, 54
Ordinary least squares (OLS)
, 136
Pair-wise correlations
, 53
Pair-wise directional connectedness
, 54
Parameter estimates
, 165–168
Phillips curve equations
, 152–153
Policy implication
, 179
Polynomial method
, 119, 121
Polynomial trend (PT)
, 100, 135–137
Posterior estimation
, 165
Power transfer function (PTF)
, 108, 134
Prior distributions
, 161–165
Profit function
, 154–155
QARCH-type conditional heteroskedasticity
, 11
Quadratic Probability Score (QPS), 74–75, 76–77, 91n7
Qualitative (un)importance of non-standard features in DSGE model
, 188–189
Quasi-Bayesian approach
, 52
Quasi-Bayesian local likelihood approach (QBLL approach)
, 39, 42–43
Random Coefficient Autoregressions (RCAs)
, 2
Real exchange rate
, 174–175
Real gross domestic product
, 101
Recursive-design bootstrap procedure
, 13
Reduced-form analysis
, 186–187
Reduced-form covariance matrix
, 42–43
Reduced-form models of comovement
, 170–172
Reduced-form term-premium, 182n10
Regime-switching dynamics
, 68
Regime-switching factor loadings
, 87, 89
Resource constraint
, 159–160
Robustness
, 179–180
Schwarz Information Criterion (SIC)
, 83
Semi-parametric approach
, 38
Short-term debt risk premium shock
, 172
Short-term domestic bonds
, 154
Short-term household interest rate
, 155
Short-term nominal interest rate
, 46
Similarity
, 114–115, 125
Simple correlations
, 125
Small open economies (SOE)
, 148–149, 151
SOE DSGE model
, 188–189
Specification testing
, 2
Spillover effects
, 59
inflation
, 60
interest rate
, 59
unemployment
, 60
Statistical discrepancy
, 3
Structural analysis
, 57–60, 186–187
Structural macroeconomic models
, 2
Structural models
, 142–144
Suite of models (SoM)
, 101, 115, 144–145
SUITEsf approach
, 111, 115, 116–119
Symmetric amplitude, 130n1
Synchronicity
, 114–115
Synchronicity
, 125
Synchronization of cycles with Euro Area
, 125–128
System-wise connectedness
, 56
Taylor rule
, 159
Temporary US monetary policy shocks
, 172
Term premia
, 149, 150, 151, 155–157, 180
Term-structure model estimation, 182n9
Testing parameter constancy in VARs
, 11–13
Time domain
, 107
Time-varying coefficients VAR process
, 14
Time-varying connectedness
, 53–56
Time-varying factor models
, 66
Time-varying parameter model (TVP model)
, 38–39
Trend cycle-seasonal filter (TCS filter)
, 101
Trend-cycle decomposition (TCD)
, 100–101, 109–111
acceleration cycles
, 137
BN filter
, 137–138
CF filter
, 138–140
comparison of different cycle concepts
, 136
details on cycles
, 145–146
frequency domain
, 107–109
Hamilton filter
, 138
HP filter
, 140–142
mathematics of
, 135
methods used for
, 106
polynomial trend
, 135–137
structural models
, 142–144
suite of models
, 144–145
time domain
, 107
wavelets
, 142
UK long-term interest rates historical decompositions
, 187–188
UK Monetary Policy Committee
, 148
Unconditional asymmetry
, 11–12, 34–35
Unconditional Kurtosis
, 12
Unconditional volatility
, 52
Uncovered interest rate parity (UIP)
, 157
Unemployment
rate
, 46, 122–125
spillover effects
, 60
Univariate ARIMA models
, 2
Univariate TCD methods
, 110
Unobserved components (UC)
, 107
Unobserved components model (UCM)
, 101
US Inflation-target Shock
, 173
USA long-term interest rates historical decompositions
, 187–188
Variance decomposition
, 53
Variance–covariance matrix
, 70–72
Vector autoregressions (VARs)
, 2, 39, 149
application to aggregate output measures
, 21–25
coefficients matrix
, 72
covariance matrices of influence functions
, 12–13
interpretation of influence functions
, 11–12
model
, 47
proofs
, 29–32
recursive-design bootstrap procedure
, 13
special case of AR(1)
, 32–35
testing parameter constancy in
, 11
Volatility
, 38, 39
unconditional
, 52
Wavelets (WAVE)
, 101, 142
Weighted likelihood
, 45
Yield curve
, 66, 148, 152, 168
- Prelims
- Chapter 1: Tests for Random Coefficient Variation in Vector Autoregressive Models
- Chapter 2: Monetary Policy Across Space and Time
- Chapter 3: Heterogeneous Switching in FAVAR Models
- Chapter 4: Business Cycles in the EU: A Comprehensive Comparison Across Methods
- Chapter 5: Understanding International Long-term Interest Rate Comovement
- Index