Sökning: "FAVAR"

Hittade 5 uppsatser innehållade ordet FAVAR.

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

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

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

    Sammanfattning : 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. LÄS MER

  2. 2. A simplified approach in FAVAR estimation

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

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

    Sammanfattning : 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. LÄS MER

  3. 3. The estimation of factors in FAVAR models

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Erik Berggren; [2017]
    Nyckelord :Common correlated effects; principal component analysis; Gibbs sampling; impulse response; factor models; Business and Economics;

    Sammanfattning : The use of factor-augmented vector autoregression (FAVAR) models has become increasingly popular in the literature of empirical macroeconomics. This paper sheds light on the different factor estimation methods that are available to researchers. LÄS MER

  4. 4. Can FAVAR improve Swedish inflation forecasting?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

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

    Sammanfattning : 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. LÄS MER

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

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Sebastian Fux; [2008]
    Nyckelord :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;

    Sammanfattning : 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. LÄS MER