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Structural Factor Models

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This RePEc Biblio topic is edited by Domenico Giannone (pgi49). It was first published on 2017-09-02 07:34:16 and last updated on 2017-09-02 13:11:33.

Most relevant research

  1. James H. Stock & Mark W. Watson, 2005, "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers, National Bureau of Economic Research, Inc, number 11467, Jul.
  2. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009, "Opening The Black Box: Structural Factor Models With Large Cross Sections," Econometric Theory, Cambridge University Press, volume 25, issue 5, pages 1319-1347, October.
  3. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2005, "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 120, issue 1, pages 387-422.
  4. Forni, Mario & Gambetti, Luca, 2010, "The dynamic effects of monetary policy: A structural factor model approach," Journal of Monetary Economics, Elsevier, volume 57, issue 2, pages 203-216, March.
  5. Matteo Luciani, 2015, "Monetary Policy and the Housing Market: A Structural Factor Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 2, pages 199-218, March.
  6. Jean Boivin & Marc P. Giannoni & Ilian Mihov, 2009, "Sticky Prices and Monetary Policy: Evidence from Disaggregated US Data," American Economic Review, American Economic Association, volume 99, issue 1, pages 350-384, March.
  7. Luciana Juvenal & Ivan Petrella, 2015, "Speculation in the Oil Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 30, issue 4, pages 621-649, June.
  8. Acconcia, Antonio & Simonelli, Saverio, 2008, "Interpreting aggregate fluctuations looking at sectors," Journal of Economic Dynamics and Control, Elsevier, volume 32, issue 9, pages 3009-3031, September.
  9. Forni, Mario & Gambetti, Luca, 2010, "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," CEPR Discussion Papers, Centre for Economic Policy Research, number 7692, Feb.
  10. Marcellino, Massimiliano & Sivec, Vasja, 2016, "Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs," Journal of Econometrics, Elsevier, volume 193, issue 2, pages 335-348, DOI: 10.1016/j.jeconom.2016.04.010.
  11. Jean Boivin & Marc Giannoni & Dalibor Stevanovic, 2013, "Dynamic effects of credit shocks in a data-rich environment," Staff Reports, Federal Reserve Bank of New York, number 615.
  12. Eickmeier, Sandra, 2007, "Business cycle transmission from the US to Germany--A structural factor approach," European Economic Review, Elsevier, volume 51, issue 3, pages 521-551, April.
  13. Houssa, Romain, 2008, "Monetary union in West Africa and asymmetric shocks: A dynamic structural factor model approach," Journal of Development Economics, Elsevier, volume 85, issue 1-2, pages 319-347, February.
  14. Altug, Sumru, 1989, "Time-to-Build and Aggregate Fluctuations: Some New Evidence," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 30, issue 4, pages 889-920, November.
  15. Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2006, "VARs, common factors and the empirical validation of equilibrium business cycle models," Journal of Econometrics, Elsevier, volume 132, issue 1, pages 257-279, May.
  16. Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2011, "Sectoral versus Aggregate Shocks: A Structural Factor Analysis of Industrial Production," Journal of Political Economy, University of Chicago Press, volume 119, issue 1, pages 1-38, DOI: 10.1086/659311.
  17. Alexei Onatski & Francisco Ruge‐Murcia, 2013, "Factor Analysis Of A Large Dsge Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 28, issue 6, pages 903-928, September.
  18. Moench, Emanuel, 2008, "Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach," Journal of Econometrics, Elsevier, volume 146, issue 1, pages 26-43, September.
  19. Laura Coroneo & Domenico Giannone & Michele Modugno, 2014, "Unspanned macroeconomic factors in the yield curve," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2014-57, Jul.