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摘要翻译：
本文建立了一个动态因素模型，利用欧元区(EA)各国的产出和通货膨胀信息来估计整个地区的产出缺口。我们的模型假设产出和通货膨胀可以分解为特定国家的随机趋势和一个共同的周期成分。通过对潜在状态的冲击施加一个因素结构，引入了趋势中的共谋。此外，我们还引入了灵活的随机波动率规范来控制测量误差中的异方差和潜在状态的创新。如果数据支持，仔细指定的收缩先验允许将模型推向同方差规范。我们对产出缺口的测量与其他通常采用的测量密切相关，在幅度和时间上差异很小。为了评估基于模型的产出缺口是否有助于预测通货膨胀，我们进行了样本外预测练习。研究结果表明，无论在点预测还是密度预测方面，我们的方法都产生了优越的通胀预测。
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英文标题：
《A multi-country dynamic factor model with stochastic volatility for euro
area business cycle analysis》
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作者：
Florian Huber, Michael Pfarrhofer, Philipp Piribauer
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最新提交年份：
2020
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
This paper develops a dynamic factor model that uses euro area (EA) country-specific information on output and inflation to estimate an area-wide measure of the output gap. Our model assumes that output and inflation can be decomposed into country-specific stochastic trends and a common cyclical component. Comovement in the trends is introduced by imposing a factor structure on the shocks to the latent states. We moreover introduce flexible stochastic volatility specifications to control for heteroscedasticity in the measurement errors and innovations to the latent states. Carefully specified shrinkage priors allow for pushing the model towards a homoscedastic specification, if supported by the data. Our measure of the output gap closely tracks other commonly adopted measures, with small differences in magnitudes and timing. To assess whether the model-based output gap helps in forecasting inflation, we perform an out-of-sample forecasting exercise. The findings indicate that our approach yields superior inflation forecasts, both in terms of point and density predictions.
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PDF链接：
https://arxiv.org/pdf/2001.03935
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