Search Results - subject:"factor augmented VAR"

Forecasting the Brazilian yield curve using forward-looking variables

Vieira, Fausto; Chague, Fernando; Fernandes, Marcelo - 2016

This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and …

Persistent link: https://www.econbiz.de/10011523983

The impact of US monetary policy and other external shocks on the Hong Kong economy : a factor-augmented VAR approach

Chen, Hongyi; Tsang, Andrew - 2016

Persistent link: https://www.econbiz.de/10012200954

Trade, Trade Finance, and Global Liquidity in Asia; Markov-Switching FAVAR Approach

Brooks, Douglas H.; Kurmanalieva, Elvira; Yang, Doo Yong - In: East Asian Economic Review (EAER) 20 (2016) 3, pp. 339-363

Augmented VAR) to show that global liquidity shocks are important factors in explaining the huge and abrupt trade drops in Asia. … developing economies and show different results for different countries in Asia. We employ a Markov-Switching FAVAR (Factor …

Persistent link: https://www.econbiz.de/10015398019

Trade, trade finance, and global liquidity in Asia : Markov-Switching FAVAR approach

Brooks, Douglas Howard; Kurmanalieva, Elvira; Yang, Tu-yong - In: East Asian economic review 20 (2016) 3, pp. 339-363

Persistent link: https://www.econbiz.de/10011765006

Nowcasting real GDP growth : comparison between old and new EU countries

Kočenda, Evžen; Poghosyan, Karen - In: Eastern European economics : EEE 58 (2020) 3, pp. 197-220

Persistent link: https://www.econbiz.de/10012203208

Commodity price co-movement : heterogeneity and the time-varying impact of fundamentals

Byrne, Joseph P.; Sakemoto, Ryuta; Xu, Bing - In: European review of agricultural economics 47 (2020) 2, pp. 499-528

Persistent link: https://www.econbiz.de/10012181739

Heterogeneous effects in the international transmission of the US monetary policy : a factor-augmented VAR perspective

Evgenidis, Anastasios; Philippas, Dionisis; … - In: Empirical economics : a journal of the Institute for … 56 (2019) 5, pp. 1549-1579

Persistent link: https://www.econbiz.de/10012052207

A dynamic Nelson-Siegel model with forward-looking macroeconomic factors for the yield curve in the US

Fernandes, Marcelo; Vieira, Fausto - In: Journal of economic dynamics & control 106 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012132004

Did financial factors matter during the Great Recession?

Paccagnini, Alessia - In: Economics letters 174 (2019), pp. 26-30

Persistent link: https://www.econbiz.de/10012121004

The international dimension of confidence shocks

Dées, Stéphane; Güntner, Jochen - 2014

Building on Beaudry, Nam and Wang (2011) - hereafter BNW -, we use survey data on consumer sentiment in order to identify the causal effects of confidence shocks on real economic activity in a selection of advanced economies. Starting from a set of closed-economy VAR models, we show that these...

Persistent link: https://www.econbiz.de/10010368265