• In the FAVAR, Monetary Policy Uncertainty (MPU) shocks are recessionary. Firm entry decreases and firm exit increases amplifying responses to MPU shocks. The stock price declines, while TFP in response model with dynamics replicates FAVAR-IRFs outperforms standard medium-scale DSGE model. This paper uses a FAVAR external instruments show that monetary policy uncertainty recessionary associate...

This paper analyzes whether a wealth of information contained in 126 monthly series used by large-scale Bayesian Vector Autoregressive (LBVAR) models, as well as Factor Augmented Vector Autoregressive (FAVAR) models, either Bayesian or classical, can prove to be more useful in forecasting real house price growth rate of the nine census divisions of the US, compared to the small-scale VAR models...

This paper develops tests for overidentifying restrictions in Factor-Augmented Vector Autoregressive (FAVAR) models. The FAVAR combines a high-dimensional factor model and a conventional VAR for the latent factors. The identification of structural shocks in FAVAR can lead to restrictions on the factor loadings of many variables, so it can involve infinitely many identifying restrictions as the ...

This Article is brought to you for free and open access by the Department of Economics at ODU Digital Commons. It has been accepted for inclusion in Economics Faculty Publications by an authorized administrator of ODU Digital Commons. For more information, please contact [email protected]. Repository Citation Selover, David D. and Yagihashi, Takeshi, "Examining Industrial Interdependence B...

The aim of this paper is to analyze the impact monetary base shocks on different measures inequality in U.S. economy for periods before and after implementation quantitative easing (QE) policy. In order take additional information into account, Factor-Augmented Vector Autoregressive (FAVAR) model built used estimation. To extract component factors, Principal Component Analysis (PCA) method appl...