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  • 1
    Article
    Article
    2015
    ISSN: 0883-7252 
    Language: English
    In: Journal of applied econometrics (Chichester, England), 2015-03, Vol.30 (2), p.199-218
    Description: This paper studies the role of the Federal Reserve’s policy in the recent boom and bust of the housing market, and in the ensuing recession. By estimating a structural dynamic factor model on a panel of 109 US quarterly variables from 1982 to 2010, we find that, although the Federal Reserve’s policy between 2002 and 2004 was slightly expansionary, its contribution to the recent housing cycle was negligible. We also show that a more restrictive policy would have smoothed the cycle but not prevented the recession. We thus find no role for the Federal Reserve in causing the recession.
    Subject(s): Research Articles ; Housing ; Dwellings
    ISSN: 0883-7252
    E-ISSN: 1099-1255
    Source: JSTOR Arts & Sciences I
    Source: Alma/SFX Local Collection
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  • 2
    Article
    Article
    2019
    ISSN: 0195-6574 
    Language: English
    In: The Energy journal (Cambridge, Mass.), 2019-11-01, Vol.40 (6), p.221
    Description: We estimate the oil price pass-through into consumer prices both in the U.S. and in the euro area. In particular, we disentangle the specific effect that an oil price change might have on each disaggregate price, from the effect on all prices that an oil price change might have since it affects the whole economy. To do so, we first estimate a Dynamic Factor Model on a panel of disaggregate price indicators, and then we use VAR techniques to estimate the pass-through. Our results show that the oil price passes through core inflation only via its effect on the whole economy. This pass-through is estimated to be small, but statistically different from zero and long lasting.
    Subject(s): Inflation (Finance) ; Consumer price indexes ; Analysis
    ISSN: 0195-6574
    E-ISSN: 1944-9089
    Source: Business Source Ultimate
    Source: EconLit with Full Text
    Source: Academic Search Ultimate
    Source: Alma/SFX Local Collection
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  • 3
    Language: English
    In: Journal of forecasting, 2015-04, Vol.34 (3), p.163-176
    Description: We introduce an approximate dynamic factor model for modeling and forecasting large panels of realized volatilities. Since the model is estimated by means of principal components and low‐dimensional maximum likelihood, it does not suffer from the curse of dimensionality. We apply the model to a panel of 90 daily realized volatilities pertaining to S&P 100 from January 2001 to December 2008. Results show that our model is able to capture the stylized facts of panels of volatilities (comovements, clustering, long memory, dynamic volatility, skewness and heavy tails), and that it performs fairly well in forecasting, in particular in periods of turmoil, in which it outperforms standard univariate benchmarks. Copyright © 2015 John Wiley & Sons, Ltd.
    Subject(s): factor models ; long memory ; forecasting ; realized volatilities ; vast dimensions ; Investment analysis ; Models ; Forecasts and trends ; Stock price indexes ; Methods ; Volatility (Finance)
    ISSN: 0277-6693
    E-ISSN: 1099-131X
    Source: Business Source Ultimate
    Source: Alma/SFX Local Collection
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  • 4
    Language: English
    In: Oxford bulletin of economics and statistics, 2014-10, Vol.76 (5), p.693-714
    Description: We investigate the possible existence of asymmetries among Euro Area countries reactions to the European Central Bank monetary policy. Our analysis is based on a Structural Dynamic Factor model estimated on a large panel of Euro Area quarterly variables. Although the introduction of the euro has changed the monetary transmission mechanism in the individual countries towards a more homogeneous response, we find that differences still remain between North and South Europe in terms of prices and unemployment. These results are the consequence of country‐specific structures, rather than of European Central Bank policies.
    Subject(s): Monetary policy ; Analysis ; Central banks
    ISSN: 0305-9049
    E-ISSN: 1468-0084
    Source: Business Source Ultimate
    Source: EconLit with Full Text
    Source: Alma/SFX Local Collection
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  • 5
    Language: English
    In: Empirical economics, 2018-09, Vol.55 (2), p.597-619
    Description: We produce predictions of the current state of the Indonesian economy by estimating a dynamic factor model on a dataset of 11 indicators (followed closely by market operators) over the 2002–2014 period. Besides the standard difficulties associated with constructing timely indicators of current economic conditions, Indonesia presents additional challenges typical to emerging market economies where data are often scant and unreliable. By means of a pseudo-real-time forecasting exercise, we show that our model outperforms univariate benchmarks, and it does comparably well with predictions of market operators. Finally, we show that when quality of data is low, a careful selection of indicators is crucial for better forecast performance.
    Subject(s): Economics ; C53 ; Dynamic factor models ; C32 ; Statistics for Business/Economics/Mathematical Finance/Insurance ; Economic Theory/Quantitative Economics/Mathematical Methods ; E37 ; Econometrics ; Emerging market economies ; O53 ; Nowcasting
    ISSN: 0377-7332
    E-ISSN: 1435-8921
    Source: Business Source Ultimate
    Source: EconLit with Full Text
    Source: Alma/SFX Local Collection
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  • 6
    Language: English
    In: Econometrics, 2020-02-04, Vol.8 (1), p.3
    Description: Large-dimensional dynamic factor models and dynamic stochastic general equilibrium models, both widely used in empirical macroeconomics, deal with singular stochastic vectors, i.e., vectors of dimension r which are driven by a q-dimensional white noise, with q 〈 r . The present paper studies cointegration and error correction representations for an I ( 1 ) singular stochastic vector y t . It is easily seen that y t is necessarily cointegrated with cointegrating rank c ≥ r − q . Our contributions are: (i) we generalize Johansen’s proof of the Granger representation theorem to I ( 1 ) singular vectors under the assumption that y t has rational spectral density; (ii) using recent results on singular vectors by Anderson and Deistler, we prove that for generic values of the parameters the autoregressive representation of y t has a finite-degree polynomial. The relationship between the cointegration of the factors and the cointegration of the observable variables in a large-dimensional factor model is also discussed.
    Subject(s): Polynomials ; Models ; Research ; Macroeconomics ; Stochastic systems ; Error analysis (Mathematics) ; large-dimensional dynamic factor models ; singular stochastic vectors ; cointegration for singular vectors ; granger representation theorem
    ISSN: 2225-1146
    E-ISSN: 2225-1146
    Source: Alma/SFX Local Collection
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  • 7
    Language: English
    In: The Economic record, 2017-03, Vol.93 (300), p.1-19
    Description: We provide empirical evidence on the degree of systemic risk in Australia before, during and after the global financial crisis. We calculate a daily index of systemic risk from 2004 to 2013 in order to understand how real economy firms influence the outcomes for the rest of the economy. This is done via a mapping of the interconnectedness of the financial and non‐financial sectors. The financial sector is in general home to the most consistently systemically risky firms in the economy. The materials sector occasionally becomes as systemically risky as the financial sector, reflecting the importance of understanding these linkages.
    Subject(s): International finance
    ISSN: 0013-0249
    E-ISSN: 1475-4932
    Source: Business Source Ultimate
    Source: EconLit with Full Text
    Source: Alma/SFX Local Collection
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  • 8
    Language: English
    In: Journal of thrombosis and haemostasis, 2021-05, Vol.19 (5), p.1259-1270
    Description: Background Dabigatran etexilate (DE), a direct oral thrombin inhibitor, has been evaluated in children with venous thromboembolism (VTE) using oral solution, pellets, or capsules. Objectives This study evaluated DE pharmacokinetics (PK) in children with VTE and the appropriateness of a DE pediatric age‐ and weight‐based dosing algorithm. Patients/Methods A population PK model was fitted to data from four single‐arm and one randomized, comparative pediatric VTE studies (358 children aged birth to 〈18 years; 2748 PK observations) and one healthy‐adult study (32 males aged 〈40 years; 1523 PK observations) using nonlinear mixed‐effects modeling. A stepwise, covariate, model‐building procedure evaluated the influence of covariates (e.g., age, body weight, body surface area [BSA]‐normalized renal function, and sex). The final model was used to evaluate the pediatric dosing algorithm, with simulations comparing pediatric trough exposure with reference exposure defined for the pediatric studies. Results The population PK of dabigatran was adequately described by a two‐compartment model with first‐order elimination and absorption. Age, weight, BSA‐normalized renal function, and sex were statistically significant covariates (all P 〈 .05). Apparent clearance increased with age (independently of body weight), diminished with decreasing BSA‐normalized renal function, and was lower in females than males. All disposition parameters increased with body weight escalation (allometric scaling). Simulations confirmed that for all DE formulations, the final pediatric dosing algorithms achieved reference exposure without dose adjustment. Conclusions Using a population PK model of DE for children with VTE, simulations showed that the final dosing algorithms were appropriate for all DE formulations; no dose titration was needed.
    Subject(s): pharmacokinetics ; algorithms ; dabigatran ; children ; venous thromboembolism ; Pediatric pharmacology ; Algorithms ; Analysis ; Body weight ; Thrombin ; Models ; Dabigatran etexilate ; Children ; Thromboembolism ; Oral medication
    ISSN: 1538-7933
    E-ISSN: 1538-7836
    Source: Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals
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  • 9
    Language: English
    In: British journal of haematology, 2019-05, Vol.185 (3), p.623-627
    Description: Table SVI. Bioavailability and Safety of Midostaurin Oral Solution and Capsule Formulations in Healthy Volunteers in Study A2108
    Subject(s): relapsed/refractory ; midostaurin ; acute leukaemia ; FLT3 ; paediatric ; Follow-Up Studies ; Humans ; Leukemia, Myeloid, Acute - metabolism ; Staurosporine - adverse effects ; Child, Preschool ; Infant ; Male ; Staurosporine - analogs & derivatives ; Survival Rate ; Disease-Free Survival ; Adolescent ; Leukemia, Myeloid, Acute - drug therapy ; Female ; Child ; Staurosporine - administration & dosage ; Relapse ; Oral medication ; Analysis ; Diseases ; Index Medicus ; Medicin och hälsovetenskap
    ISSN: 0007-1048
    ISSN: 1365-2141
    E-ISSN: 1365-2141
    Source: Alma/SFX Local Collection
    Source: SWEPUB Freely available online
    Source: © ProQuest LLC All rights reserved〈img src="https://exlibris-pub.s3.amazonaws.com/PQ_Logo.jpg" style="vertical-align:middle;margin-left:7px"〉
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  • 10
    Language: English
    In: British journal of haematology, 2020-07, Vol.190 (1), p.93-104
    Description: Summary Diamond–Blackfan anaemia (DBA) is a rare and heterogeneous disease characterised by hypoplastic anaemia, congenital anomalies and a predisposition for malignancies. The aim of this paper is to report the findings from the Italian DBA Registry, and to discuss the Registry’s future challenges in tackling this disease. Our 20‐year long work allowed the connection of 50 Italian Association of Paediatric Haematology and Oncology (AIEOP) centres and the recruitment of 283 cases. Almost all patients have been characterised at a molecular level (96%, 271/283), finding a causative mutation in 68% (184/271). We confirm the importance of determination of erythrocyte adenosine deaminase activity (eADA) and of ribosomal RNA assay in the diagnostic pipeline and characterisation of a remission state. Patients with mutations in large ribosomal subunit protein (RPL) genes had a significant correlation with the incidence of malformations, higher eADA levels and more severe outcomes, compared to patients with mutations in small ribosomal subunit protein (RPS) genes. Furthermore, as a consequence of our findings, particularly the incidence of malignancies and the high percentage of patients aged 〉18 years, we stress the importance of collaboration with adult clinicians to guarantee regular multi‐specialist follow‐up. In conclusion, this study highlights the importance of national registries to increase our understanding and improve management of this complex disease.
    Subject(s): bone marrow failure ; erythrocyte adenosine deaminase ; RPS/RPL genes ; ribosomal RNA ; Diamond–Blackfan anaemia ; Humans ; Middle Aged ; Child, Preschool ; Male ; Young Adult ; Time Factors ; Anemia, Diamond-Blackfan - genetics ; Adolescent ; Adult ; Female ; Italy ; Registries ; Child ; Index Medicus
    ISSN: 0007-1048
    E-ISSN: 1365-2141
    Source: Alma/SFX Local Collection
    Source: © ProQuest LLC All rights reserved〈img src="https://exlibris-pub.s3.amazonaws.com/PQ_Logo.jpg" style="vertical-align:middle;margin-left:7px"〉
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