-Augmented VAR (BP-FAVAR) to combine a large information set with an identification scheme based on an external instrument. In an …

shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income …

less while risk of riskier and domestic banks reacts more in response to house price shocks. -- FAVAR ; bank risk ; macro … 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 …