the Bank of Thailand on key domestic economic variables over time, allowing for the possibility that global forces may … matter more for Thai economic dynamics over the recent years. With some measure of confidence, we find that global … macroeconomic and financial influence matters for Thailand’s economic dynamics. Whether global forces have gained in importance is …

(FAVAR) approach. The results indicate that when examining the effects of oil price shocks, it is important to account for ….S. economy and monetary policy respond differently to global demand shocks that have the effect of raising the price of oil and …

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 …

this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U … address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are …? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary …

.S, Canada, U.K., and Japan using factor-augmented vector auto regressive (FAVAR) model developed by Bernanke, Boivin and Eliasz … the sparse information sets employed in these models. The recently developed FAVAR approach resolves this issue by …

economy using a factor-augmented VAR (FAVAR), estimated a large data set comprising of 126 quarterly series over the period … responds negatively to monetary policy shock, but the responses are heterogeneous across the census divisions. In addition, our …

We examine the role of commercial banks in monetary transmission in a factor-augmented vector autoregression (FAVAR). A … FAVAR exploits a large number of macroeconomic indicators to identify monetary policy shocks, and we add commonly used …