Jump to ContentJump to Main Navigation
Show Summary Details
More options …

The B.E. Journal of Macroeconomics

Editor-in-Chief: Cavalcanti, Tiago / Kambourov, Gueorgui

Ed. by Abraham, Arpad / Carceles-Poveda , Eva / Debortoli, Davide / Lambertini, Luisa / Nimark, Kristoffer / Wang, Pengfei

2 Issues per year

IMPACT FACTOR 2017: 0.378
5-year IMPACT FACTOR: 0.462

CiteScore 2017: 0.62

SCImago Journal Rank (SJR) 2017: 0.553
Source Normalized Impact per Paper (SNIP) 2017: 0.605

See all formats and pricing
More options …

Structural Factor-Augmented VARs (SFAVARs) and the Effects of Monetary Policy

Francesco Belviso / Fabio Milani
Published Online: 2006-12-04 | DOI: https://doi.org/10.2202/1534-5998.1443

Factor-augmented VARs (FAVARs) have combined standard VARs with factor analysis to exploit large data sets in the study of monetary policy. FAVARs enjoy a number of advantages over VARs: they allow a better identification of the monetary policy shock; they avoid the use of a single variable to proxy theoretical constructs; they allow researchers to compute impulse responses for hundreds of variables. Their shortcoming, however, is that the factors are not identified and lack an economic interpretation.This paper seeks to provide an interpretation to the factors. We propose a novel Structural Factor-Augmented VAR (SFAVAR) model, where the factors have a clear meaning: Real Activity factor, Inflation factor, Financial Market factor, Credit factor, Expectations factor, and so forth. The paper employs a Bayesian approach to jointly estimate the factors and the dynamic model. This framework is then used to study the effects of monetary policy on a wide range of macroeconomic variables.

Keywords: VAR; dynamic factors; monetary policy; structural FAVAR

About the article

Published Online: 2006-12-04

Citation Information: Topics in Macroeconomics, Volume 6, Issue 3, ISSN (Online) 1534-5998, DOI: https://doi.org/10.2202/1534-5998.1443.

Export Citation

©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston.Get Permission

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

Emilios Galariotis, Panagiota Makrichoriti, and Spyros Spyrou
Journal of Banking & Finance, 2017
Piyachart Phiromswad and Takeshi Yagihashi
Empirical Economics, 2016, Volume 51, Number 2, Page 621
Goran Petrevski, Jane Bogoev, and Dragan Tevdovski
Empirica, 2015, Volume 42, Number 4, Page 747
Journal of Money, Credit and Banking, 2012, Volume 44, Number 8, Page 1667
Dimitris Korobilis
Oxford Bulletin of Economics and Statistics, 2013, Volume 75, Number 2, Page 157
Eric Girardin and Zakaria Moussa
Journal of International Financial Markets, Institutions and Money, 2011, Volume 21, Number 4, Page 461

Comments (0)

Please log in or register to comment.
Log in