عنوان

Essays on Dynamic Factor Models and Business Cycles

شماره

T535

زبان متن نوشتاري يا گفتاري و مانند آن

انگلیسی

عنوان اصلي

Essays on Dynamic Factor Models and Business Cycles

نام عام مواد

[Thesis]

نام ساير پديدآوران

;supervisor:Jeliazkov, Ivan

نام ناشر، پخش کننده و غيره

University of California, Irvine: United States -- California

تاریخ نشرو بخش و غیره

: 2013

نام خاص و کميت اثر

77 Pages

جزئيات پايان نامه و نوع درجه آن

Ph.D.

متن يادداشت

My dissertation is primarily focused on applying dynamic factor models to study economic business cycles for U.S. and a handful of Asian countries. The novelty of these models pertains to their ability to capture the characteristics of a potentially large number of data series by relatively few common unobserved factors. In particular, the first chapter of my dissertation utilizes two kinds of factors (global and regional) to investigate the roles of global and regional shocks in explaining Asian output comovement; the second chapter employs an innovative factor model-based method to produce U.S. recession severity ranks since the Great Depression; the third chapter proposes an efficient algorithm to estimate dynamic factor models. The first paper, titled "The Effects of Global Shocks and Regional Shocks on Asian Business Cycle Synchronization" , studies the evolution of the degree of Asian business cycle synchronization and assesses the impact of global and regional shocks on output interdependence across Asia over the period 1990-2011. I employ a dynamic factor model to decompose output fluctuations into a global factor common to all countries in my sample, regional factors that capture any remaining common fluctuations across countries within each region, and an idiosyncratic component that captures country-specific characteristics. In particular, I categorize the 19 countries in my sample into four regions - non- Asia, East Asia, South Asia and Southeast Asia, thereby accounting for heterogeneous dynamics of subregional co-movement. Results show that, over the past two decades, global and regional shocks are playing a critical role in determining Asian output synchronization. As the process of globalization has picked up, both shocks increasingly explain output co-movement, which leads to a higher degree of business cycle synchronicity across Asia. The second paper titled "A Model-Based Ranking of U.S. Recessions" employs a dynamic factor VAR model, estimated by MCMC simulation, to assess the relative severity of post-war U.S. recessions. Joint modeling and estimation of all model unknowns yields rank estimates that fully account for parameter uncertainty. A convenient by-product of the simulation approach is a probability distribution of possible recession ranks that (i) accommodates uncertainty about the exact location of troughs, and (ii) can be used to resolve any potential inconsistencies or ties in the rank estimates. These features distinguish the approach from single-variable measures of downturns that ignore the co-movement and dynamic dependence and could lead to contradictory conclusions about timing and relative severity. The third paper is titled "Efficient Parameter-Expanded Gibbs Samplers for Dynamic Factor Models". I adopt a parameter-expanded Gibbs sampling algorithm to estimate a dynamic factor model. The proposed algorithm is easily applicable since it involves only draws from standard distributions. It also leads to substantial improvement in the Markov chain Monte Carlo (MCMC) performance as compared to conventional sampling methods. In addition, a heavy-tailed prior is adopted to ease the process of hyperparameter elicitation when one has limited knowledge of plausible prior parameters. I also implement an efficient simulation algorithm by exploiting the computational advantage of sparse and banded matrices. The performance of the methods is illustrated with simulated data and an application to construct economic indicators.

موضوع مستند نشده

Economics

اصطلاح موضوعی

Social sciences

اصطلاح موضوعی

Dynamic factor models

اصطلاح موضوعی

Business cycles

اصطلاح موضوعی

Shocks

اصطلاح موضوعی

Great Depression

اصطلاح موضوعی

Parameter-expanded

اصطلاح موضوعی

Gibbs samplers

مستند نام اشخاص تاييد نشده

Liu, Rui.

مستند نام اشخاص تاييد نشده

Jeliazkov, Ivan, supervisor

تاريخ و ساعت مذاکره و دسترسي

TL535.pdf

متن ارتباطي

لببیلبیلبیلیب

فرمت انتشار

e

نوع ماده

TL

کد کاربرگه

254359

سطح دسترسي

a

تكميل شده

Y