Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/224160 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Working Paper No. 16.08R
Verlag: 
Swiss National Bank, Study Center Gerzensee, Gerzensee
Zusammenfassung: 
We combine the factor augmented VAR framework with recently developed estimation and identification procedures for sparse dynamic factor models. Working with a sparse hierarchical prior distribution allows us to discriminate between zero and non-zero factor loadings. The non-zero loadings identify the unobserved factors and provide a meaningful economic interpretation for them. Applying our methodology to US macroeconomic data reveals indeed a high degree of sparsity in the data. We use the estimated FAVAR to study the effect of a monetary policy shock and a shock to the term premium. Factors and specific variables show sensible responses to the identified shocks.
Schlagwörter: 
Bayesian FAVAR
sparsity
factor identification
JEL: 
C32
C55
E32
E43
E52
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.63 MB





Publikationen in EconStor sind urheberrechtlich geschützt.