Macroeconomic shocks and the business cycle: evidence from a structural factor model

We use a dynamic factor model to provide a semi-structural representation for 101 quarterly US macroeconomic series. We find that (i) the US economy is well described by a number of structural shocks between two and six. Focusing on the four-shock specification, we identify, using sign restrictions, two non-policy shocks, demand and supply, and two policy shocks, monetary and fiscal. We obtain the following results. (ii) Both supply and demand shocks are important sources of fluctuations; supply prevails for GDP, while demand prevails for employment and inflation. (ii) Policy matters, Both monetary and fiscal policy shocks have sizeable effects on output and prices, with little evidence of crowding out; both monetary and fiscal authorities implement important systematic countercyclical policies reacting to demand shocks. (iii) Negative demand shocks have a large long-run positive effect on productivity, consistently with the Schumpeterian "cleansing" view of recessions.

A five factor model of grief : a q-methodological study /

Q-methodology permitted 41 people to communicate their perspective of grief. In an attempt to clarify the research to date and to allow those who have experienced this human journey to direct the scientists, 80 statements were chosen to present to the participants based on the research from academic and counselling sources. Five different perspectives emerged from the Q-sorts and factor analysis. Each perspective was valuable for the understanding of different groups of mourners. They were interpreted using questionnaire data and interview information. They are as follows: Factor 1- Growth Optimism; Factor 2 - Schema Destruction and Negative Affect; Factor 3- Identification with the Deceased Person; Factor 4- Intact World view with High Clarity and High Social Support; Factor 5- Schema Destruction with High Preoccupation and Attention to Emotion. Some people grow in the face of grief, others hold on to essentially the same schemas and others are devastated by their loss. The different perspectives reported herein supply clues to the sources of these differing outcomes. From examination of Factor 1, it appears that a healthy living relationship helps substantially in the event of loss. An orientation toward emotions that encourages clarity, exemplified by Factor 4, without hyper-vigilance to emotion may be helpful as well. Strategies for maintaining schematic representations of the world with little alteration include: identification with the values of the deceased person, as in Factor 3 and reliance on social support and/or God as demonstrated by Factor 4. When the relationship had painful periods, social support may be accessed to benefit some mourners. When the person's frame of reference or higher order schemas are assaulted by the events of loss, the people most at risk for traumatic grief seem to be those with difficult relationships as indicated by Factor 5 individuals. When low social support, high attention to emotion with low clarity and little belief that feelings can be altered for the better are also attributes of the mourner devastating grief can result. In the end, there are groups of people who are forced to endure the entire process of schema destruction and devastation. Some appear to recover in part and others appear to stay in a form of purgatory for many years. The results of this study suggest that, those who experience devastating grief may be in the minority. In the future interventions could be more specifically addressed if these perspectives are replicated in a larger, more detailed study.

The use of the bi-factor model to test the uni-dimensionality of a battery of reasoning tests

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A note on three factor model of discounting

In Montiel Olea and Strzalecki (2014), authors have axiomatically developed an algorithm to infer the parameters of beta-delta model of cognitive bias (present and future biases). While this is extremely useful, it allows the implied beta to become very large when the response is impatient in the future choices relative to present choices, i.e., when there is a strong future bias. I modify the model to further exponentiate the functional form to get more reasonable beta values.

Gray's model of personality and aggregate level factor analysis

Previous research shows that correlations tend to increase in magnitude when individuals are aggregated across groups. This suggests that uncorrelated constellations of personality variables (such as the primary scales of Extraversion and Neuroticism) may display much higher correlations in aggregate factor analysis. We hypothesize and report that individual level factor analysis can be explained in terms of Giant Three (or Big Five) descriptions of personality, whereas aggregate level factor analysis can be explained in terms of Gray's physiological based model. Although alternative interpretations exist, aggregate level factor analysis may correctly identify the basis of an individual's personality as a result of better reliability of measures due to aggregation. We discuss the implications of this form of analysis in terms of construct validity, personality theory, and its applicability in general. Copyright (C) 2003 John Wiley Sons, Ltd.

A comparison between three and five factor models of Pakistani personality data

The Eysenck Personality Questionnaire-Revised (EPQ-R), the Eysenck Personality Profiler Short Version (EPP-S), and the Big Five Inventory (BFI-V4a) were administered to 135 postgraduate students of business in Pakistan. Whilst Extraversion and Neuroticism scales from the three questionnaires were highly correlated, it was found that Agreeableness was most highly correlated with Psychoticism in the EPQ-R and Conscientiousness was most highly correlated with Psychoticism in the EPP-S. Principal component analyses with varimax rotation were carried out. The analyses generally suggested that the five factor model rather than the three-factor model was more robust and better for interpretation of all the higher order scales of the EPQ-R, EPP-S, and BFI-V4a in the Pakistani data. Results show that the superiority of the five factor solution results from the inclusion of a broader variety of personality scales in the input data, whereas Eysenck's three factor solution seems to be best when a less complete but possibly more important set of variables are input. (C) 2001 Elsevier Science Ltd. All rights reserved.

IInflation and Globalisation: A Dynamic Factor Model with Stochastic Volatility

National inflation rates reflect domestic and international (regional and global) influences. The relative importance of these components remains a controversial empirical issue. We extend the literature on inflation co-movement by utilising a dynamic factor model with stochastic volatility to account for shifts in the variance of inflation and endogenously determined regional groupings. We find that most of inflation variability is explained by the country specific disturbance term. Nevertheless, the contribution of the global component in explaining industrialised countries’ inflation rates has increased over time.

Co-movements in Real Effective Exchange Rates: Evidence from the Dynamic Hierarchical Factor Model

We analyze and quantify co-movements in real effective exchange rates while considering the regional location of countries. More specifically, using the dynamic hierarchical factor model (Moench et al. (2011)), we decompose exchange rate movements into several latent components; worldwide and two regional factors as well as country-specific elements. Then, we provide evidence that the worldwide common factor is closely related to monetary policies in large advanced countries while regional common factors tend to be captured by those in the rest of the countries in a region. However, a substantial proportion of the variation in the real exchange rates is reported to be country-specific; even in Europe country-specific movements exceed worldwide and regional common factors.

Credit risk contributions under the Vasicek one-factor model: a fast wavelet expansion approximation

To measure the contribution of individual transactions inside the total risk of a credit portfolio is a major issue in financial institutions. VaR Contributions (VaRC) and Expected Shortfall Contributions (ESC) have become two popular ways of quantifying the risks. However, the usual Monte Carlo (MC) approach is known to be a very time consuming method for computing these risk contributions. In this paper we consider the Wavelet Approximation (WA) method for Value at Risk (VaR) computation presented in [Mas10] in order to calculate the Expected Shortfall (ES) and the risk contributions under the Vasicek one-factor model framework. We decompose the VaR and the ES as a sum of sensitivities representing the marginal impact on the total portfolio risk. Moreover, we present technical improvements in the Wavelet Approximation (WA) that considerably reduce the computational effort in the approximation while, at the same time, the accuracy increases.

Zuckerman's reivsed alternative five-factor model: Validation of the Zuckerman-Kuhlman-Aluja Personality Questionnaire in four French-speaking countries

The aim of this study was to analyze the replicability of Zuckerman's revised Alternative Five-factor model in a French-speaking context by validating the Zuckerman-Kuhlman-Aluja Personality Questionnaire (ZKA-PQ) simultaneously in 4 French-speaking countries. The total sample was made up of 1,497 subjects from Belgium, Canada, France, and Switzerland. The internal consistencies for all countries were generally similar to those found for the normative U.S. and Spanish samples. A factor analysis confirmed that the normative structure replicated well and was stable within this French-speaking context. Moreover, multigroup confirmatory factor analyses have shown that the ZKA-PQ reaches scalar invariance across these 4 countries. Mean scores were slightly different for women and men, with women scoring higher on Neuroticism but lower on Sensation Seeking. Globally, mean score differences across countries were small. Overall, the ZKA-PQ seems an interesting alternative to assess both lower and higher order personality traits for applied or research purposes.

Structural and mean level analyses of the Five-Factor Model and Locus of Control: Further evidence from Africa

The present study examines the Five-Factor Model (FFM) of personality and locus of control in French-speaking samples in Burkina Faso (N = 470) and Switzerland (Ns = 1,090, 361), using the Revised NEO Personality Inventory (NEO-PI-R) and Levenson's Internality, Powerful others, and Chance (IPC) scales. Alpha reliabilities were consistently lower in Burkina Faso, but the factor structure of the NEO-PI-R was replicated in both cultures. The intended three-factor structure of the IPC could not be replicated, although a two-factor solution was replicable across the two samples. Although scalar equivalence has not been demonstrated, mean level comparisons showed the hypothesized effects for most of the five factors and locus of control; Burkinabè scored higher in Neuroticism than anticipated. Findings from this African sample generally replicate earlier results from Asian and Western cultures, and are consistent with a biologically-based theory of personality.

Personality disorders and the Five-Factor Model among French speakers in Africa and Europe

Objective: Several authors have suggested that Personality Disorders (PDs) might be more accurately described using a dimensional model instead of a categorical one. The aim of this study was to describe the relationship between PDs and the Five-Factor Model (FFM)-a dimensional model describing normal personality traits known for its invariance across cultures-in two different cultural settings. Method: Subjects from nine French-speaking African countries (n = 2,014) and from Switzerland (n = 697) completed both the French-version of the IPDE screening questionnaire, assessing the ten DSM-IV PDs, and the French-version of the NEO-PI-R, assessing the five domains and thirty facets of the FFM. Results: Correlations between PDs and the five domains of the FFM were similar in both samples. For example, Neuroticism was highly correlated with Borderline, Avoidant, and Dependent PDs in both Africa and Switzerland. The total rank-order correlation (rho) between the two correlation matrices was very high (rho = 0.93) and significant (P < 0.001), as were the rhos for all domains of the FFM and all PDs, except Paranoid and Dependent PDs. However, the rhos for PDs across facet-scales were all highly significant (P < 0.001). Moreover, 80% of Widiger and colleagues' predictions and 70 % of Lynam and Widiger's prototypes, concerning the relationship between PDs and the FFM, were confirmed in both samples. Conclusions: The relationship between PDs and the FFM was stable in two samples separated by a great cultural distance. These results suggest that a dimensional approach and in particular the FFM might be useful for describing PDs in a variety of cultural settings.

Risk management under a two-factor model of the term structure of interest rates

This paper presents several applications to interest rate risk managementbased on a two-factor continuous-time model of the term structure of interestrates previously presented in Moreno (1996). This model assumes that defaultfree discount bond prices are determined by the time to maturity and twofactors, the long-term interest rate and the spread (difference between thelong-term rate and the short-term (instantaneous) riskless rate). Several newmeasures of ``generalized duration" are presented and applied in differentsituations in order to manage market risk and yield curve risk. By means ofthese measures, we are able to compute the hedging ratios that allows us toimmunize a bond portfolio by means of options on bonds. Focusing on thehedging problem, it is shown that these new measures allow us to immunize abond portfolio against changes (parallel and/or in the slope) in the yieldcurve. Finally, a proposal of solution of the limitations of conventionalduration by means of these new measures is presented and illustratednumerically.