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 ...

This paper examines the capability of both accounting and market information in explaining the cross-sectional variation of five-year credit default swap spreads. The paper proposes a panel FAVAR methodological approach to combine the additional predictions from a long list of accounting and market fundamental variables, while controlling the macroeconomic environment of the firms. A comprehens...

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...

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 article outlines the development of time variable parameter (TVP) estimation as an approach to modeling nonstationary dynamic systems. It then describes one of the latest methods for estimating time variable parameters in dynamic auto-regressive, exogenous variables (DARX) and dynamic transfer function (DTF) models. In the case of DARX models, the estimation methodology is based on standard...