FAVAR

AcronymDefinition
FAVARFactor Augmented Vector Autoregressive
References in periodicals archive ?
Kamber, G and O Karagedikli, M Ryan and T Vehbi (2016) 'International spill-overs of uncertainty shocks: Evidence from a FAVAR', CAMA Working Paper, 61/2016.
Posteriormente, estos indices se incluyeron como regresores en un modelo traditional de vectores auto-regresivos (VAR); es decir, estimamos un modelo de vectores auto-regresivos aumentado con factores (FAVAR) que incluye un factor no observable y una variable observable de la actividad economica real con el fin de evaluar el efecto de las condiciones financieras internacionales sobre las variables macroeconomicas colombianas.
Once the real and financial factors are obtained via principal components analysis we estimate the factor-augmented VAR, or FAVAR, represented by Equation 4.
Table 1 condenses the data series from the appendix into the nine sets of predictive data that form the nine factors used in the FAVAR model.
Schnatz, "Global commodity cycles and linkages a favar approach," Working Paper Series 1170, European Central Bank, 2010.
La segunda propuesta descansa en los modelos FAVAR (factor-aumentado VAR), que se originan en los trabajos de Bernanke y Boivin (2003) y Bernanke et al.
"Measuring the Effects of Monetary Policy: A Factor-augmented Vector Autoregressive (FAVAR) Approach." Quarterly Journal of Economics, 120 (1), 387-422.
Next, we examine how health care prices respond to a monetary policy shock using the factor-augmented vector autoregression (FAVAR) (Bernanke, Boivin, and Eliasz 2005a) in Figure 2.
2011: Drivers of exchange rate dynamics in selected CIS countries: Evidence from a FAVAR analysis.
Karagedikli and Thorsrud estimate a FAVAR model to examine the transmission mechanisms through which international and regional shocks affect the New Zealand economy.
Bernanke Measuring the Effects of Monetary Jean Boivin Policy: A Factor-Augmented Vector Piotr Eliasz Autoregessive (FAVAR) Approach 10221 Paul Oyer Compensating Employees Below the Scott Schaefer Executive Ranks: A Comparison of Options, Restricted Stock, and Cash 10222 Paul Oyer Why Do Some Firms Give Stock Options Scott Schaefer to All Employees?: An Empirical Examination of Alternative Theories 10223 Josh Lerner The New New Financial Thing: The Sources of Innovation Before and After State Street 10224 Evangelos Benos Private Benefits and Cross-Listings Michael S.