RaboResearch - Economic Research

Special

Gasflation

US and European natural gas prices have jumped to multi-year highs; to the extent that comparisons with the 1970’s oil crises are perhaps not as far-fetched as some would think.

Special

Backcasting the US economy with Dynamic Factor Models

Using Dynamic Factor Models (DFM) we try to backcast US macroeconomic variables. The composition and interpretation of the factors differ pre- and post-2008-crisis. In terms of backcasting accuracy the DFM outperforms the Autoregressive model pre-crisis, but not post-crisis.