G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8321
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
URLhttps://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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