We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation …-varying FAVAR is estimated using a large quarterly dataset of US variables from 1972 to 2007, the results indicate some changes in … the factor dynamics, and more marked variation in the factors' shock volatility and their loading parameters. Forecasts …

and to the output of the rest of the world. In modelling the monetary and financial sector of the economy we distinguish …

As a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and …-correction, cointegration and dynamic factor models, and has several conceptual advantages over standard ECM and FAVAR models. In particular, it … uses a larger dataset compared to the ECM and incorporates the long-run information lacking from the FAVAR because of the …

generalization of factor augmented VARs (FAVAR) considered by Bernanke, Boivin and Eliasz (2005) inter alia, which are specified in … to standard ECM and FAVAR models. The analysis is conducted primarily within an in-sample framework, although the out …

responses in a FAVAR model is positively related to the strength of the error-correction mechanism and the cross … responses of several variables to the identified real shock. …

both equities and bonds. Yet such a monetary policy easing shock also induces a shift in portfolio composition out of …