Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/206948 
Autor:innen: 
Erscheinungsjahr: 
2019
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 1831
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
Structural VAR models require two ingredients: (i) Informational sufficiency, and (ii) a valid identification strategy. These conditions are unlikely to be met by small-scale recursively identified VAR models. I propose a Bayesian Proxy Factor-Augmented VAR (BP-FAVAR) to combine a large information set with an identification scheme based on an external instrument. In an application to monetary policy shocks I find that augmenting a standard small-scale Proxy VAR by factors from a large set of financial variables changes the model dynamics and delivers price responses which are more in line with economic theory. A second application shows that an exogenous increase in uncertainty affects disaggregated investment series more negatively than consumption series.
Schlagwörter: 
dynamic factor models
external instruments
monetary policy
uncertainty shocks
JEL: 
C38
E60
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.22 MB





Publikationen in EconStor sind urheberrechtlich geschützt.