کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5095609 | 1376474 | 2016 | 38 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
Large scale factor models have been often adopted both for forecasting and to identify structural shocks and their transmission mechanism. Mixed frequency factor models have been also used in a reduced form context, but not for structural applications, and in this paper we close this gap. First, we adapt a simple technique developed in a small scale mixed frequency VAR and factor context to the large scale case, and compare the resulting model with existing alternatives. Second, using Monte Carlo experiments, we show that the finite sample properties of the mixed frequency factor model estimation procedure are quite good. Finally, to illustrate the method we present three empirical examples dealing with the effects of, respectively, monetary, oil, and fiscal shocks.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 193, Issue 2, August 2016, Pages 335-348
Journal: Journal of Econometrics - Volume 193, Issue 2, August 2016, Pages 335-348
نویسندگان
Massimiliano Marcellino, Vasja Sivec,