Using panel data from 30 regions in China during the period 1999:01–2020:12, this paper evaluates effects of national fundamentals affecting movement regional house prices by estimating a factor-augmented VAR model. We construct and examine hypothesis that prices, such as monetary policy (short-term interest rate M2), real output, inflation rate, may affect through their impacts on common facto...

• 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 documents the evolution of variables central to understanding the creation of an Atlantic Economy in wheat between the US and the UK in the nineteenth century. The cointegrated VAR model is then applied to the period 1838-1913 in order to find long-run relationships between these variables. The main result is that explanations for the expansion of trade based on falling barriers to t...

This paper suggests a term structure model which parsimoniously exploits a broad macroeconomic information set. The model uses the short rate and the common components of a large number of macroeconomic variables as factors. Precisely, the dynamics of the short rate are modeled with a FactorAugmented Vector Autoregression and the term structure is derived using parameter restrictions implied by...

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,...