2 papers
econ.EM2025
On Selection of Cross-Section Averages in Non-stationary Environments
Jan Ditzen, Ovidijus Stauskas
Information criteria (IC) have been widely used in factor models to estimate an unknown number of latent factors. It has recently been shown that IC perform well in Common Correlat…
econ.GN2023
Global Factors in Non-core Bank Funding and Exchange Rate Flexibility
Luís A. V. Catão, Jan Ditzen, Daniel Marcel te Kaat
We show that fluctuations in the ratio of non-core to core funding in the banking systems of advanced economies are largely driven by three global factors of both real and financia…