Narrow search
Showing 61 - 70 of 1,080,545
Cover Image
Aggregation in Large Dynamic Panels
Pesaran, M. Hashem - 2015
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10013038262
Cover Image
Explaining yield curve dynamics
Füss, Roland; Nikitina, Olena - In: The journal of fixed income 21 (2011) 2, pp. 68-87
Persistent link: https://www.econbiz.de/10009349763
Cover Image
Aggregation in large dynamic panels
Pesaran, M. Hashem; Chudik, Alexander - 2011
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10009130496
Cover Image
The Effects of US Monetary Policy Shocks : Applying External Instrument Identification to a Dynamic Factor Model
Kerssenfischer, Mark - 2021
Dynamic factor models and external instrument identification are two recent advances in the empirical macroeconomic literature. This paper combines the two approaches in order to study the effects of monetary policy shocks. I use this novel framework to re-examine the effects found by Forni and...
Persistent link: https://www.econbiz.de/10013315462
Cover Image
Factor augmented VAR revisited : a sparse dynamic factor model approach
Beyeler, Simon; Kaufmann, Sylvia - 2018
We combine the factor augmented VAR framework with recently developed estimation and identification procedures for …
Persistent link: https://www.econbiz.de/10012039045
Cover Image
Structural FECM : cointegration in large‐scale structural FAVAR models
Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - In: Journal of applied econometrics 32 (2017) 6, pp. 1069-1086
Persistent link: https://www.econbiz.de/10011862314
Cover Image
Proxy VAR models in a data-rich environment
Bruns, Martin - 2019
financial variables changes the model dynamics and delivers price responses which are more in line with economic theory. A … second application shows that an exogenous increase in uncertainty affects disaggregated investment series more negatively …
Persistent link: https://www.econbiz.de/10012125244
Cover Image
Explaining yield curve dynamics
Nikitina, Olena - In: Essays on fixed income and inflation forecasting, (pp. 7-41). 2015
Persistent link: https://www.econbiz.de/10011639453
Cover Image
Inspecting short- and long-term inflation expectations
Nikitina, Olena - In: Essays on fixed income and inflation forecasting, (pp. 42-79). 2015
Persistent link: https://www.econbiz.de/10011639454
Cover Image
Monetary, fiscal and oil shocks : evidence based on mixed frequency structural FAVARs
Marcellino, Massimiliano; Sivec, Vasja - In: Journal of econometrics 193 (2016) 2, pp. 335-348
Persistent link: https://www.econbiz.de/10011704953