We extend the Bayesian Factor-Augmented Vector Autoregressive model (FAVAR) to incorporate an identification scheme based on external instrument approach. Using this novel modelling framework, we show that a monetary policy tightening in United States has contractionary effects economy. Moreover, accounting for large information set seems help mitigate price and real economic puzzles estimated ...

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...

This paper re-examines the evolution in the US monetary transmission mechanism using an empirical framework that incorporates substantially more information than the standard trivariate VAR model used in most previous studies. In particular, we employ an extended version of the factor-augmented VAR proposed by Bernanke et al. (2005). Our extensions include allowing for time variation in the coe...

• Studies dynamic effects of macroprudential policy (MPP) on macrofinancial variables. Uses novel regime-switching factor-augmented VAR model to identify shifts. Includes intensity-adjusted index for MPPs tracking strength adjustments. Credit growth and capital inflows decrease following a tightening MPP shock. Reactions are stronger in low-interest rate environment. In line with recent discuss...

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...

This paper studies the monetary transmission mechanism in the U.S. It proposes a mixed-frequency version of the factor-augmented vector autoregressive regression (FAVAR) model, which is used to construct a coincident index to measure the monetary transmission mechanism. The model divides the transmission of changes in monetary policy to the economy into three stages according to the timing and ...

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...