4 papers
Mean Square Errors of factors extracted using principal components, linear projections, and Kalman filter
Matteo Barigozzi, Diego Fresoli, Esther Ruiz
Factor extraction from systems of variables with a large cross-sectional dimension, , is often based on either Principal Components (PC)-based procedures, or Kalman filter (KF)-…
Heterogeneous economic growth vulnerability across Euro Area countries under stressed scenarios
Claudio Lissona, Esther Ruiz
We analyse economic growth vulnerability of the four largest Euro Area (EA) countries under stressed macroeconomic and financial conditions. Vulnerability, measured as a lower quan…
International vulnerability of inflation
Ignacio Garrón, C. Vladimir Rodríguez-Caballero, Esther Ruiz
In a globalised world, inflation in a given country may be becoming less responsive to domestic economic activity, while being increasingly determined by international conditions.…
Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity
C. Vladimir Rodríguez-Caballero, Esther Ruiz
In this paper, we propose fitting unobserved component models to represent the dynamic evolution of bivariate systems of centre and log-range temperatures obtained monthly from min…