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 …

this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U …

activities. This paper provides evidence on the link between monetary policy, commercial property prices, and bank risk taking …. We use a factor-augmented vector autoregressive model (FAVAR) for the U.S. for the period 1997-2008. We include standard …. These data allow modeling the reactions of banks' new lending volumes and prices as well as the riskiness of new loans. We …