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dc.contributor.authorEickmeier, Sandraen_US
dc.contributor.authorLemke, Wolfgangen_US
dc.contributor.authorMarcellino, Massimilianoen_US
dc.date.accessioned2011-04-12en_US
dc.date.accessioned2011-04-15T09:44:51Z-
dc.date.available2011-04-15T09:44:51Z-
dc.date.issued2011en_US
dc.identifier.isbn978-3-86558-693-3en_US
dc.identifier.urihttp://hdl.handle.net/10419/44958-
dc.description.abstractWe 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 insample, for some variables in pseudo real time, mostly financial indicators. 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 an equally-sized monetary policy shock has decreased since the early-1980s.en_US
dc.language.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Paper Series 1: Economic Studies 2011,04en_US
dc.subject.jelC3en_US
dc.subject.jelC53en_US
dc.subject.jelE52en_US
dc.subject.ddc330en_US
dc.subject.keywordFAVARen_US
dc.subject.keywordtime-varying parametersen_US
dc.subject.keywordmonetary transmissionen_US
dc.subject.keywordforecastingen_US
dc.titleClassical time-varying FAVAR models - estimation, forecasting and structural analysisen_US
dc.typeWorking Paperen_US
dc.identifier.ppn656180919en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:bubdp1:201104-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

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