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The real-time macro content of corporate financial reports: A dynamic factor model approach
Journal of Monetary Economics ( IF 4.3 ) Pub Date : 2021-02-02 , DOI: 10.1016/j.jmoneco.2021.01.006
Ahmed M. Abdalla , Jose M. Carabias , Panos N. Patatoukas

We use a standard dynamic factor model to extract new factors based on the real-time flow of accounting data from the corporate financial reports. The extracted accounting factors exploit across-sector comovements in corporate value creation drivers and can be used together with other closely watched economic indicators. We show that our weekly updated accounting factors are incrementally relevant for nowcasting and forecasting major components of economic output in the BEA's National Income and Product Accounts. Overall, our paper pioneers a new approach to incorporating the continuous flow of accounting data within the context of dynamic factor models.



中文翻译:

公司财务报告的实时宏内容:一种动态因素模型方法

我们使用标准的动态因素模型,根据公司财务报告中会计数据的实时流提取新因素。提取的会计因子利用企业价值创造驱动力中的跨部门协同作用,并且可以与其他受到密切关注的经济指标一起使用。我们表明,每周更新的会计系数与东亚银行国民收入和产品账户中经济产出的主要组成部分的临近预报和预测越来越相关。总体而言,我们的论文率先提出了一种在动态因素模型的上下文中合并会计数据连续流的新方法。

更新日期:2021-03-10
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