This paper investigates the external drivers of Cambodia’s credit cycles using a dynamic factor model. Results indicate that ...

A dynamic factor model for the use of big data in the production of official monthly unemployment figures. Monthly figures on the labour force are based on data collected through the Labour Force ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in ...

This study develops an econometric model that incorporates features of price dynamics across assets as well as through time. With the dynamic factors extracted via the Kalman filter, we formulate an ...