Structural Factor-Augmented VAR (SFAVAR)
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2003 with number 278.
Date of creation: 01 Aug 2003
Date of revision:
VAR; Dynamic Factors; Monetary Policy; Structural FAVAR;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
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- 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.
- Moench, Emanuel, 2008. "Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach," Journal of Econometrics, Elsevier, vol. 146(1), pages 26-43, September.
- 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.
- Lahura, Erick, 2012. "Measuring the Effects of Monetary Policy Using Market Expectations," Working Papers 2012-005, Banco Central de Reserva del Perú.
- 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.
- Sandra Eickmeier & Leonardo Gambacorta & Boris Hofmann, 2013.
"Understanding Global Liquidity,"
BIS Working Papers
402, Bank for International Settlements.
- 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.
- Tomas Havranek & Marek Rusnak, 2013. "Transmission Lags of Monetary Policy: A Meta-Analysis," International Journal of Central Banking, International Journal of Central Banking, vol. 9(4), pages 39-76, December.
- Tomas Havranek & Marek Rusnak, 2012. "Transmission Lags of Monetary Policy: A Meta-Analysis," Working Papers IES 2012/27, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2012.
- Tomas Havranek & Marek Rusnak, 2012. "Transmission Lags of Monetary Policy: A Meta-Analysis," Working Papers 2012/10, Czech National Bank, Research Department.
- 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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