Abstract Longevity risk is putting more and financial pressure on governments pension plans worldwide due to pensioners’ increasing trend of life expectancy the growing numbers people reaching retirement age. Lee Carter (1992, Journal American Statistical Association , 87 (419), 659–671.) applied a one-factor dynamic factor model forecast mortality improvement, has since become field’s workhors...

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...

Nowadays one of the most important issues in our economy, both from economic and political view is the link between monetary policy and business cycle fluctuations. Amongst the shocks related to the supply side, the shock of oil price is the important factor that has affected the world economy since the 1970s. This paper examines the effects of monetary policy and oil price shocks on the busine...

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 ...

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...