Structural VAR models require two ingredients: (i) Informational sufficiency, and (ii) a valid identification strategy …. These conditions are unlikely to be met by small-scale recursively identified VAR models. I propose a Bayesian Proxy Factor …-Augmented VAR (BP-FAVAR) to combine a large information set with an identification scheme based on an external instrument. In an …

) model for Egypt using Bayesian techniques and data for the period FY2004/2005:Q1-FY2015/2016:Q4 to assess monetary and … and Kirsanova, 2010 and Çebi, 2011). The model is calibrated using quarterly data for Egypt on key macroeconomic variables … and fiscal policy instruments in Egypt contribute to economic stability through their effects on inflation, output and …