Factor-Augmented Vector Autoregression with narrative identification. An application to monetary policy in the US
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DOI: 10.1016/j.econlet.2023.111201
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More about this item
Keywords
Information sufficiency; Factor-augmented VARs; Instrumental variables; Monetary policy; Structural VARs;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
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