Search Results - subject:"factor augmented VAR"

The shale oil boom and the US economy : spillovers and time-varying effects

Bjørnland, Hilde Christiane; Zhulanova, Julia - 2019

Persistent link: https://www.econbiz.de/10012224427

What drives emerging stock market returns? : a factor-augmented var approach

Kwon, Dohyoung - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 5, pp. 1215-1232

Persistent link: https://www.econbiz.de/10013167079

Price stickiness along the income distribution and the effects of monetary policy

Cravino, Javier; Lan, Ting; Levchenko, Andrei A. - 2018

Persistent link: https://www.econbiz.de/10011917638

Proxy vector autoregressions in a data-rich environment

Bruns, Martin - In: Journal of economic dynamics & control 123 (2021), pp. 1-36

Persistent link: https://www.econbiz.de/10012666239

U.S. monetary-fiscal regime changes in the presence of endogenous feedback in policy rules

Chang, Yoosoon; Kwak, Boreum - 2017

We investigate U.S. monetary and fiscal policy regime interactions in a model, where regimes are determined by latent autoregressive policy factors with endogenous feedback. Policy regimes interact strongly: Shocks that switch one policy from active to passive tend to induce the other policy to...

Persistent link: https://www.econbiz.de/10011657313

Divergent emerging market economy responses to global and domestic monetary policy shocks

Choi, Woon Gyu; Kang, Taesu; Kim, Geun Young; Lee, Byongju - 2017

We assess the effect of the United States (US) and domestic monetary policies on emerging market economies (EMEs) using a panel factor-augmented vector autoregressive model. We find a US policy rate hike outstrips a tantamount hike in EME policy rates in its impacts on EMEs and discover that...

Persistent link: https://www.econbiz.de/10012064694