Given the effects of inflation on the decline of household welfare and its impact on production and investment, identifying the factors affecting it in order to adjust inflation and achieve price stability is necessary. Therefore, using the TVP-FAVAR model, which differentiates the fluctuations in factors affecting inflation, we try to identify the effects of different shocks such as liquidity,...

Price stability has been the foremost task of monetary policy. The information relating to the response of prices to monetary policy shocks is essential for conducting monetary policy in general and for inflation targeting of central banks in particular. Most of the published empirical studies analyze the response of an aggregate price index like CPI or a consumption deflator and their r...

This paper proposes a factor augmented autoregressive distributed lag (FADL) framework for analyzing the dynamic effects of common and idiosyncratic shocks. We first estimate the common shocks from a large panel of data with a strong factor structure. Impulse responses are then obtained from an autoregression, augmented with a distributed lag of the estimated common shocks. The approach has thr...

We apply multivariate statistical methods to a large dataset of Singapore’s macroeconomic variables and global economic indicators with the objective of forecasting business cycles in a small open economy. The empirical results suggest that three common factors are present in the time series at the quarterly frequency, which can be interpreted as world, regional and domestic economic cycles. Th...

Este artículo tiene como objetivo medir el efecto de la incertidumbre en las organizaciones del mercado accionario colombiano, usando información financiera los precios materias primas energéticas y tasa cambio, con fin aumentar inteligencia organizacional para toma decisiones. Se utilizan modelo FAVAR medición derrame financiero analizar impactos volatilidad direccional índice IMIFE, cual es p...

Our paper proposes a novel measure of global energy market uncertainty and studies its impact on oil prices. The current literature primarily relies single or small number observable variables, general macroeconomic (JLN) economic policy (EPU) indices to reflect uncertainty. Using Factor Augmented Vector Autoregression model (FAVAR), we construct time-varying in data-rich environment. estimates...