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dc.contributor.authorEickmeier, Sandraen
dc.contributor.authorLemke, Wolfgangen
dc.contributor.authorMarcellino, Massimilianoen
dc.date.accessioned2011-04-12-
dc.date.accessioned2011-04-15T09:44:51Z-
dc.date.available2011-04-15T09:44:51Z-
dc.date.issued2011-
dc.identifier.isbn978-3-86558-693-3en
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
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2011,04en
dc.subject.jelC3en
dc.subject.jelC53en
dc.subject.jelE52en
dc.subject.ddc330en
dc.subject.keywordFAVARen
dc.subject.keywordtime-varying parametersen
dc.subject.keywordmonetary transmissionen
dc.subject.keywordforecastingen
dc.titleClassical time-varying FAVAR models - estimation, forecasting and structural analysis-
dc.typeWorking Paperen
dc.identifier.ppn656180919en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:201104en

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