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 ...

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 ...

 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 ...

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 ...

This paper analyzes the transmission of house price in Colombia for the period 2001-1 to 2020-6, using a FAVAR model proposed by Bernanke, Boivin and Eliasz (2005), that combines the VAR models and the developments in the ...

This article studies the prediction of the Brazilian interest rate term structure employing the use of common factors extracted from a vast database of macroeconomic series. The estimation and prediction periods analyzed ...

This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure ...