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Identification of Macroeconomic Factors in Large Panels · Study

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PreprintIdentification of Macroeconomic Factors in Large Panels

Lasse Bork2009

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Preprintgreen2009

Identification of Macroeconomic Factors in Large Panels

Lasse Bork · Hans Dewachter · Romain Houssa

12 citations·0/0 files stored·SSRN Electronic Journal

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Spatial and Panel Data Analysis

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References

1980Macroeconomics and Reality 2002Determining the Number of Factors in Approximate Factor Models 2002Forecasting Using Principal Components From a Large Number of Predictors 2002Macroeconomic Forecasting Using Diffusion Indexes 2005What are the effects of monetary policy on output? Results from an agnostic identification procedure 1998Monetary Policy Shocks: What Have We Learned and to What End?1996What Does Monetary Policy Do?1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

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2009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approachpreprint · 15 shared references 2009The dynamic effects of monetary policy: A structural factor model approacharticle · 12 shared references 2016Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomicschapter · 11 shared references 2009Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approachpreprint · 11 shared references 2013No News in Business Cyclesarticle · 10 shared references 2005Implications of Dynamic Factor Models for VAR Analysisreport · 9 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations12

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.2139/ssrn.1509877

openalex_workW1574728512

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