Dynamic Factor Scenario Analysis
Dynamic factor models have proven to be effective in nowcasting and short-term forecasting of key macroeconomic variables. We explore whether dynamic factor models can also be useful for policy and scenario analyses; for such tasks an accurate model description for the long-term features of the time series are required. In this research we propose some modifications of a dynamic factor analysis to improve the ability of the model to capture the long-term dynamics. We further show how a scenario analysis can be implemented in the context of a dynamic factor model. We present an illustration of measuring the impact on economic variables when climate change policies are implemented, such as a cap on CO2 emissions. This is joint work with Mikkel Bennedsen and Eric Hillebrand, both at CREATES, Aarhus University.

Please sign up for meetings below:
Date: 15 February 2019, 14:15 (Friday, 5th week, Hilary 2019)
Venue: Manor Road Building, Manor Road OX1 3UQ
Venue Details: Seminar Room C
Speaker: Siem Jan Koopman (Free University of Amsterdam)
Organising department: Department of Economics
Part of: Nuffield Econometrics Seminar
Booking required?: Not required
Audience: Members of the University only
Editor: Melis Boya