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 …

at containing inflation and the deviation of output from potential within pre-specified bounds. We develop formal tools … this loss function under weak assumptions may be estimated from realizations for inflation and output gap data even in the … parameters with respect to the inflation and output objectives during the Greenspan period. We formally test for and reject the …

This paper studies how U.S. monetary policy affects global stock prices. We find that global stock prices respond … strongly to changes in U.S. interest rate policy, with stock prices increasing (decreasing) following unexpected monetary …

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. …

summarized as follows: (a) the `political business cycle' hypothesis, as formulated in Nordhaus (1975) on output and unemployment … output and unemployment and of long-run partisan differences in the inflation rate as implied by the `rational partisan … theory' (Alesina, 1987); (d) we find virtually no evidence of permanent partisan differences in output and unemployment. …

, with a deflationary impact on current price and output, for plausible parameterizations. It also causes the money wage to …

Fiscal consolidations achieved by means of spending cuts are much less costly in terms of output losses than tax …

This paper compares how cash and in-kind transfers affect local prices. Both types of transfers increase the demand for … normal goods, but only in-kind transfers also increase supply. Hence, in-kind transfers should lead to lower prices than cash …