全球智库信息集成服务系统(G2TT): DP8321 Classical time-varying FAVAR models - Estimation, forecasting and structural analysis

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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.