Essays about: "FAVAR model"

Found 4 essays containing the words FAVAR model.

1. 1. Using FAVAR Model to Test the Credit Channel Monetary Policy Transmission Mechanism in Long-term Credit Cycle

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Zhihao Fu; [2020]
   Keywords : Monetary policy transmission mechanism; enterprise balance sheet channel; bank credit channel; FAVAR model; VAR model;

   Abstract : In this paper, based on the FAVAR model created by Ben Bernanke, 115 groups of economic variables' data from January 1959 to December 2014 were selected for the empirical analysis. From January 1959 to August 2008, the fed funds rate was used to work as the indicator of the monetary policy. READ MORE

3. 2. A simplified approach in FAVAR estimation

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Mathias Lien Oskarsson; Christopher Lin; [2018]
   Keywords : factor-augmented vector autoregression; principal component analysis; common correlated effects; impulse responses;

   Abstract : In the field of empirical macroeconomics factor-augmented vector autoregressive (FAVAR) models have become a popular tool in explaining how economic variables interact over time. FAVAR is based upon a data-reduction step using factor estimation, which are then employed in a vector autoregressive model. READ MORE

4. 3. Can FAVAR improve Swedish inflation forecasting?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Erik Berggren; Ellenor Lodenius; [2016]
   Keywords : Forecasting; factor models; principal component analysis; Phillips curve; Taylor rule; Business and Economics;

   Abstract : The purpose of this thesis is to investigate whether factor augmented vectorautoregression (FAVAR) models estimated using principal component analysis are able to improve monthly inflation rate forecasts for Sweden. We produce 42 forecasts for the period January 2012 to June 2015 and evaluate the forecasts by their root mean square errors as well as their ability to correctly predict the sign of the inflation rate. READ MORE

5. 4. Measuring Monetary Policy - A Theoretical Foundation and an Application of the Factor Augmented Vector Autoregressive Approach

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Sebastian Fux; [2008]
   Keywords : monetary policy; VAR model; Principal Component Analysis; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : This essay uses the Factor Augmented Vector Autoregressive (FAVAR) approach to quantify the effects of monetary policy. Traditional methods to estimate the effects of monetary policy, such as Vector Autoregressive (VAR) models, have yielded unsatisfactory results, mainly due to sparse information sets included in the models. READ MORE