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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP8321 |
DP8321 Classical time-varying FAVAR models - Estimation, forecasting and structural analysis | |
Massimiliano Marcellino; Sandra Eickmeier; Wolfgang Lemke | |
发表日期 | 2011-04-03 |
出版年 | 2011 |
语种 | 英语 |
摘要 | We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of US variables from 1972 to 2007, the results indicate some changes in the factor dynamics, and more marked variation in the factors' shock volatility and their loading parameters. Forecasts from the time-varying FAVAR are more accurate than those from a constant parameter FAVAR for most variables and horizons when computed in-sample, and for some variables in pseudo real time, mostly financial and credit variables. Finally, we use the time-varying FAVAR to assess how monetary transmission to the economy has changed. We find substantial time variation in the volatility of monetary policy shocks, and we observe that the reaction of GDP, the GDP deflator, inflation expectations and long-term interest rates to a same-sized monetary policy shock has decreased since the early-1980s. |
主题 | International Macroeconomics |
关键词 | Favar Forecasting Monetary transmission Time-varying parameters |
URL | https://cepr.org/publications/dp8321 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537203 |
推荐引用方式 GB/T 7714 | Massimiliano Marcellino,Sandra Eickmeier,Wolfgang Lemke. DP8321 Classical time-varying FAVAR models - Estimation, forecasting and structural analysis. 2011. |
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