-Augmented VAR (BP-FAVAR) to combine a large information set with an identification scheme based on an external instrument. In an …

This paper uses a FAVAR model with external instruments to show that the policy uncertainty shocks are recessionary and … constant firms or constant firms' exit are unable to re-produce the FAVAR response of firm' entry and exit and suggest a much … smaller effect of this shock on real activity. …

near-term using an event study of inflation around global recessions and a factor-augmented vector auto-regression (FAVAR …) model. We report three main results. First, the decline in global inflation during the 2020 global recession was the most … muted and shortest-lived of any of the five global recessions over the past 50 years and the increase in inflation since May …

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income …