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Structural Factor-Augmented VAR (SFAVAR)

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Author Info

  • Fabio Milani
  • Francesco Belviso

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Bibliographic Info

Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 278.

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Date of creation: 01 Aug 2003
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Handle: RePEc:sce:scecf3:278

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Related research

Keywords: VAR; Dynamic Factors; Monetary Policy; Structural FAVAR;

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Cited by:
  1. Mönch, Emanuel, 2005. "Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach," Working Paper Series 0544, European Central Bank.
  2. William Goetzmann & Eduardas Valaitis, 2006. "Simulating Real Estate in the Investment Portfolio: Model Uncertainty and Inflation Hedging," Yale School of Management Working Papers amz2476, Yale School of Management, revised 01 May 2006.
  3. Lahura, Erick, 2012. "Measuring the Effects of Monetary Policy Using Market Expectations," Working Papers 2012-005, Banco Central de Reserva del Perú.
  4. Lahura, Erick, 2010. "The Effects Of Monetary Policy Shocks In Peru: Semi-Structural Identification Using A Factor-Augmented Vector Autoregressive Model," Working Papers 2010-008, Banco Central de Reserva del Perú.
  5. Sandra Eickmeier & Leonardo Gambacorta & Boris Hofmann, 2013. "Understanding Global Liquidity," BIS Working Papers 402, Bank for International Settlements.
  6. Tomas Havranek & Marek Rusnak, 2012. "Transmission Lags of Monetary Policy: A Meta-Analysis," William Davidson Institute Working Papers Series wp1038, William Davidson Institute at the University of Michigan.
  7. Wilmar Alexander Cabrera Rodríguez & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR," Borradores de Economia 810, Banco de la Republica de Colombia.

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