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Monetary policy and the cross-section of stock returns: a FAVAR approach
(2012-05-28)
We use a factor-augmented vector autoregression (FAVAR) to estimate the impact of monetary policy shocks on the cross-section of stock returns. Our FAVAR combines unobserved factors extracted from a large set of nancial ...
Credit shocks and monetary policy in Brazil: a structural FAVAR approach
(2014-05-05)
This paper investigates the implications of the credit channel of the monetary policy transmission mechanism in the case of Brazil, using a structural FAVAR (SFAVAR) approach. The term structural comes from the estimation ...
Credit Shocks and Monetary Policy in Brazil: A Structural Favar ApproachCredit Shocks and Monetary Policy in Brazil: A Structural Favar Approach
(Sociedade Brasileira de Econometria, 2012)
Credit shocks and monetary policy in Brazil: a structural FAVAR approach
(Sociedade Brasileira de Econometria, 2012-04-25)
This paper investigates the implications of the credit channel of the monetary policy transmission mechanism in the case of Brazil, using a structural FAVAR (SFAVAR) approach. The term structural comes from the estimation ...
Ciclo econômico, emprego e desigualdadeTexto para Discussão (TD) 1981: Ciclo econômico, emprego e desigualdadeEconomic cycle, employment and inequality
(Instituto de Pesquisa Econômica Aplicada (Ipea), 2014)
Análisis de la dinámica de la política monetaria en Colombia durante los últimos 20 años : una aproximación FAVAR
(EconomíaEscuela de Economía y Finanzas, Departamento de Economía y Finanzas, 2010)
Efeitos de política fiscal nos EUA em um modelo FAVAR
(2011-07-07)
This paper aims to study the fiscal policy effects on a wide range of US macroeconomic variables. The empirical work is based upon a structural VAR with latent factors (FAVAR) and for which we develop a special identification ...
Forecasting the Brazilian term structure using macroeconomic factors
(Sociedade Brasileira de Econometria, 2014-03-26)
This paper studies the forecasting of the Brazilian interest rate term structure using common factors from a wide database of 171 macroeconomic series, from the period of January 2000 to May 2012. Firstly the model proposed ...