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Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression : An EM Algorithm Approach
Bork, Lasse - 2009
system is denoted a factor-augmented VAR (FAVAR) by Bernanke et al. (2005). I estimate the FAVAR by the fully parametric one …
Persistent link: https://www.econbiz.de/10012718723
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Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression : An EM Algorithm Approach
Bork, Lasse - 2009
system is denoted a factor-augmented VAR (FAVAR) by Bernanke et al. (2005). I estimate the FAVAR by the fully parametric one …
Persistent link: https://www.econbiz.de/10012718964
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Spillovers in space and time : where spatial econometrics and Global VAR models meet
Elhorst, J. Paul; Groß, Marco; Tereanu, Eugen - 2018
We bring together the spatial and global vector autoregressive (GVAR) classes of econometric models by providing a detailed methodological review of where they meet in terms of structure, interpretation, and estimation methods. We discuss the structure of cross-section connectivity (weight)...
Persistent link: https://www.econbiz.de/10011802171
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Infinite-dimensional VARs and factor models
Chudik, Alexander; Pesaran, Hashem - 2009
dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …
Persistent link: https://www.econbiz.de/10011605044
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Infinite dimensional VARs and factor models
Chudik, Alexander; Pesaran, Mohammad Hashem - 2007
dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the … number of endogenous variables tends to infinity. It is shown that under such restrictions, an infinite-dimensional VAR (or … IVAR) can be arbitrarily well characterized by a large number of finite-dimensional models in the spirit of the global VAR …
Persistent link: https://www.econbiz.de/10010276215
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Interest rate uncertainty and macroeconomics in Turkey
Güney, Pelin Öge - In: Prague economic papers : a bimonthly journal of … 32 (2023) 2, pp. 184-204
Uncertainty about monetary policy associated with uncertainty in interest rate is an important determinant of economic decisions. Due to the dominant position of the US economy on global financial markets, in addition to countries' own uncertainties, uncertainty related to the monetary policy of...
Persistent link: https://www.econbiz.de/10014516194
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Effects of monetary policy shocks on UK regional activity : a constrained MFVAR approach
Mandalinci, Zeyyad - 2015
This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...
Persistent link: https://www.econbiz.de/10011372798
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The dynamics of foreign direct investment and exchange rates : an interconnection approach in ASEAN
Syarifuddin, Ferry - In: Cogent economics & finance 10 (2022) 1, pp. 1-20
This paper examines the direct and spillover effects of exchange rate on foreign direct investment (FDI) inflows in a panel of ASEAN countries from 2001 to 2018. We utilize the spatial econometric approach to accommodate the nature of spatial dependence among ASEAN countries. Our results suggest...
Persistent link: https://www.econbiz.de/10013426223
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Technological diffusion and productivity convergence across European regions: a spatial approach over the period 2000-2015
Manca, Fabio; Piroli, Giuseppe - 2021
What are the drivers of growth and convergence in productivity at regional level? Differences in the stock of human capital across regions are hypothesized to be the major cause of differences in the speed by which following regions converge and catch-up with the most advanced ones. In addition,...
Persistent link: https://www.econbiz.de/10012661249
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10010300360