Search Results - subject:"Factor Augmented Vector Autoregression"

Assessing cryptomarket risks: macroeconomic forces, market shocks and behavioural dynamics

Thelissaint, Josue - 2024

Persistent link: https://www.econbiz.de/10015191777

Non-linear dimension reduction in factor-augmented vector autoregressions

Klieber, Karin - In: Journal of economic dynamics & control 159 (2024), pp. 1-29

Persistent link: https://www.econbiz.de/10014532393

Estimation of favar models for incomplete data with a Kalman Filter for factors with observable components

Ramsauer, Franz; Min, Aleksey; Lingauer, Michael - In: Econometrics 7 (2019) 3, pp. 1-43

This article extends the Factor-Augmented Vector Autoregression Model (FAVAR) to mixed-frequency and incomplete panel …

Persistent link: https://www.econbiz.de/10012696246

Estimation of favar models for incomplete data with a Kalman Filter for factors with observable components

Ramsauer, Franz; Min, Aleksey; Lingauer, Michael - In: Econometrics : open access journal 7 (2019) 3/31, pp. 1-43

This article extends the Factor-Augmented Vector Autoregression Model (FAVAR) to mixed-frequency and incomplete panel …

Persistent link: https://www.econbiz.de/10012161533

Monetary policy shocks identified using the entire yield curve : an alternative approach

Jang, Woon Wook - In: Applied economics letters 29 (2022) 21, pp. 2020-2031

Persistent link: https://www.econbiz.de/10013552915

Identifying factor-augmented vector autoregression models via changes in shock variances

Yamamoto, Yohei; Hara, Naoko - In: Journal of applied econometrics 37 (2022) 4, pp. 722-745

Persistent link: https://www.econbiz.de/10013332683

Monetary policy, residential investment, and search frictions : an empirical and theoretical synthesis

Lunsford, Kurt G. - 2016

Persistent link: https://www.econbiz.de/10011546850

Is the exchange rate a shock absorber or a source of shocks? : evidence from the US

De, Kuhelika; Sun, Wei - In: Economic modelling 89 (2020), pp. 1-9

Persistent link: https://www.econbiz.de/10012425897

Effectiveness of monetary policy in China : evidence from factor-augmented vector autoregression model

Sun, Yunpeng; Zhang, Jingjia - In: Frontiers of economics in China : selected publications … 14 (2019) 3, pp. 336-370

Persistent link: https://www.econbiz.de/10012129400

The Effects of Monetary Policy Shocks on a Panel of Stock Market Volatilities: A Factor-Augmented Bayesian VAR Approach

Barsoum, Fady - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2013

This paper investigates the response of stock market volatility to a monetary policy shock using a structural factor-augmented Bayesian vector autoregressive (FAVAR) model. We construct a monthly dataset of realized volatilities of the constituents of the S&P500 index and extract volatility...

Persistent link: https://www.econbiz.de/10010695730