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  • Search: subject:"Factor-augmented vector autoregressive"
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Year of publication
Subject
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VAR model 13 VAR-Modell 13 Geldpolitik 11 Schätzung 10 Monetary policy 9 Estimation 8 Global shocks 8 Schock 7 common factors 7 factor augmented vector autoregressive (FAVAR) models 7 factor-augmented vector autoregressive model 7 international business cycle 7 international policy coordination and transmission 7 EU-Staaten 6 Euro area 5 Eurozone 5 Shock 5 Time series analysis 5 Zeitreihenanalyse 5 Debt crisis 4 EU countries 4 Geldpolitische Transmission 4 Monetary transmission 4 Schuldenkrise 4 2010-2013 3 Bayesian estimation 3 Globalisierung 3 Interest rate pass-through 3 Konjunkturzusammenhang 3 Regional housing prices 3 Theorie 3 Theory 3 factor model 3 factor-augmented vector autoregressive models 3 high-frequency identification 3 metropolitan and micropolitan regions 3 sovereign debt crisis 3 unconventional monetary policy 3 Business cycle 2 Common trends 2
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Online availability
All
Free 19 Undetermined 6
Type of publication
All
Book / Working Paper 15 Article 11
Type of publication (narrower categories)
All
Working Paper 11 Article in journal 8 Aufsatz in Zeitschrift 8 Graue Literatur 8 Non-commercial literature 8 Arbeitspapier 7 Article 2 Conference Paper 1
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Language
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English 25 Undetermined 1
Author
All
Belke, Ansgar 8 Rees, Andreas 8 Borstel, Julia von 3 Eickmeier, Sandra 3 Fischer, Manfred M. 3 Huber, Florian 3 Krippner, Leo 3 Pfarrhofer, Michael 3 Staufer-Steinnocher, Petra 3 Corona, Francisco 2 González-Farías, Graciela 2 Orraca, Pedro 2 Reigl, Nicolas 2 Alexandrova-Kabadjova, Biliana 1 Bagliano, Fabio C. 1 Cai, Zongwu 1 Cankaya, S. 1 Gavilan-Rubio, Miguel Angel 1 Hiraga, Kazuki 1 Kilic, Erdem 1 Kozuka, Masafumi 1 Liu, Xiyuan 1 Miyazaki, Tomomi 1 Morana, Claudio 1 Poncela, Pilar 1 Salzmann, Leonard 1 Senra, Eva 1 Sierra, Lya Paola 1 Wang, Zhifeng 1 Wei, Fangying 1
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Institution
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DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 1 Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI) 1
Published in...
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Applied economics 3 Ruhr Economic Papers 2 Baltic Journal of Economics 1 Baltic journal of economics 1 Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Global Liquidity and Asset Prices 1 CAMA working paper series 1 DIW Discussion Papers 1 Discussion Papers of DIW Berlin 1 Discussion paper 1 Discussion paper series / Reserve Bank of New Zealand 1 Finance research letters 1 Latin American Economic Review 1 Latin American economic review : LAER ; official journal of Centro de Investigación y Docencia Económica (CIDE) 1 ROME Discussion Paper Series 1 ROME discussion paper series 1 The North American Journal of Economics and Finance 1 The journal of financial market infrastructures 1 The journal of risk model validation 1 Working Papers in Economics 1 Working papers in economics 1 Working papers in regional science 1 Working papers series in theoretical and applied economics 1
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Source
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ECONIS (ZBW) 16 EconStor 7 RePEc 3
Showing 1 - 10 of 26
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Solving the price puzzle via a functional coefficient factor-augmented VAR model
Cai, Zongwu; Liu, Xiyuan - 2021
Persistent link: https://www.econbiz.de/10012602647
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The dynamic impact of monetary policy on regional housing prices in the United States
Fischer, Manfred M.; Huber, Florian; Pfarrhofer, Michael; … - 2018
This paper uses a factor-augmented vector autoregressive model to examine the impact of monetary policy shocks on …
Persistent link: https://www.econbiz.de/10012042476
Saved in:
Cover Image
The dynamic impact of monetary policy on regional housing prices in the United States
Fischer, Manfred M.; Huber, Florian; Pfarrhofer, Michael; … - 2018
This paper uses a factor-augmented vector autoregressive model to examine the impact of monetary policy shocks on …
Persistent link: https://www.econbiz.de/10011930297
Saved in:
Cover Image
The dynamic impact of monetary policy on regional housing prices in the United States
Fischer, Manfred M.; Huber, Florian; Pfarrhofer, Michael; … - 2018
Persistent link: https://www.econbiz.de/10011988230
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A dynamic factor model for the Mexican economy: Are common trends useful when predicting economic activity?
Corona, Francisco; González-Farías, Graciela; Orraca, … - In: Latin American Economic Review 26 (2017) 1, pp. 1-35
by Bai (J Econom 122(1):137-183, 2004), where the estimated common factors are used in a factor-augmented vector … autoregressive model to forecast the Global Index of Economic Activity. Additionally, we estimate the common trends through partial …
Persistent link: https://www.econbiz.de/10011994325
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Forecasting the Estonian rate of inflation using factor models
Reigl, Nicolas - In: Baltic Journal of Economics 17 (2017) 2, pp. 152-189
The paper presents forecasts of headline and core inflation in Estonia with factor models in a recursive pseudo out-of-sample framework. The factors are constructed with a principal component analysis and are then incorporated into vector autoregressive (VAR) forecasting models. The analyses...
Persistent link: https://www.econbiz.de/10011868520
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Cover Image
A dynamic factor model for the Mexican economy : are common trends useful when predicting economic activity?
Corona, Francisco; González-Farías, Graciela; Orraca, … - In: Latin American economic review : LAER ; official … 26 (2017), pp. 1-35
by Bai (J Econom 122(1):137–183, 2004), where the estimated common factors are used in a factor-augmented vector … autoregressive model to forecast the Global Index of Economic Activity. Additionally, we estimate the common trends through partial …
Persistent link: https://www.econbiz.de/10011885720
Saved in:
Cover Image
Forecasting the Estonian rate of inflation using factor models
Reigl, Nicolas - In: Baltic journal of economics 17 (2017) 2, pp. 152-189
The paper presents forecasts of headline and core inflation in Estonia with factor models in a recursive pseudo out-of-sample framework. The factors are constructed with a principal component analysis and are then incorporated into vector autoregressive (VAR) forecasting models. The analyses...
Persistent link: https://www.econbiz.de/10011890976
Saved in:
Cover Image
A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry
Wang, Zhifeng; Wei, Fangying - In: The journal of risk model validation 14 (2020) 3, pp. 97-118
Persistent link: https://www.econbiz.de/10014336011
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Cover Image
The interest rate pass-through in the Euro area during the sovereign debt crisis
Borstel, Julia von; Eickmeier, Sandra; Krippner, Leo - 2015
Persistent link: https://www.econbiz.de/10011500407
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