This work applies the two-stage Factor Augmented Vector Autoregression (FAVAR) developed by Bernanke, Boivin and Eliasz …

This work compares the effectiveness of quantity-based and price-based monetary policies in China using FAVAR. This …

Factor Augmented Vector Autoregressive (FAVAR) methodology, which contains 115 monthly variables for the period 1992:01 to … 2010:12. We compare the results of VAR and FAVAR model and the results showed that FAVAR model explains the effects of … liquidity puzzle in Pakistan while FAVAR model did not provide any evidence of puzzles. FAVAR model supports the effectiveness …

the period January 1999 to August 2007, our results show that a shock in the risk aversion indicator affects negatively … future real activity in the eurozone in a similar way to an exchange rate shock. The ECB reacts significantly to a risk … financial instability are linked with low investors’ risk appetite (or in other words high risk aversion). Two different …

of risk by markets. We also find some weak evidence that IT countries did better on unemployment rates and advanced IT …

Twenty-eight months after the onset of the global financial crisis of August 2008, the evidence on post-crisis GDP … face deflation scares; and had sharp real depreciations without a relative deterioration in their risk assessment by …

the experiences of recent years and the conditions of the globalization in this time. The first Section contains an …