Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 8 of 8 for “"FAVAR"”.
-
Transmission of US monetary policy to the world economies. A time varying multi-country factor augmented vector autoregressive approach
… I use a time varying Factor Augmented VAR (FAVAR) model which I estimate by using Bayesian techniques. I first examine all the possible channels through which a policy shock is transmitted in each country. In general the transmission of the shock hides considerable heterogeneity across the …
-
A magyar bankrendszer makroprudenciális szempontból
… első részében egy időben változó paraméterű FAVAR modell segítségével két hitelkínálati faktort számítottam, melyek közül az elsőt hitelezési hajlandóságként, a másodikat hitelezési képességként azonosítottam. Majd megvizsgáltam a kétfajta hitelkínálati sokk makrogazdasági változókra …
-
Theory and Applications in Macroeconometric Modelling
… structural VAR models, and Factor-Augmented VAR (FAVAR) models. It tests the hypothesis that GVAR models, when extended to identify structural shocks, can offer comparable, if not superior, insights into economic dynamics relative to DSGE models. Additionally, the thesis posits that a regional …
-
Developing a Framework for Urban DNA Analysis
… Vector Autoregression (VAR), especially the FAVAR model and co-integration techniques, the analysis examined the co-evolution of regulatory and niche variables over time. While the results revealed significant relationships between these elements and long-term economic performance, the use of …
-
MACROECONOMIC ASPECTS OF COMMODITY PRICE DYNAMICS
… the ‘co-movement’ in a factor-augmented VAR (FAVAR) framework. The findings show that monetary policy, global economic conditions and the US dollar exchange rates play an important role in the dynamics of agricultural commodity prices. My second chapter examines the role played by Wal-Mart in …
-
Behavioural Macro-Financial Cycles
… I use a new methodology based on a Bayesian FAVAR to overcome the econometrically challenging setting and test three aspects of the quality of changes in financial integration measures. I apply this methodology to the EU in the 21st century and find that there is a common factor that drives a …
-
ESSAYS ON THE MACROECONOMIC IMPACTS OF ENERGY AND COMMODITY MARKETS
This dissertation consists of two essays on the macroeconomic impacts of energy and commodity markets. The first essay studies the effects of U.S. energy shocks on international economic activity and the world oil market. I use a set of factor augmented vector autoregressions to identify and …
-
Essays in macroeconomics and housing
In the first chapter, we unveil a feedback loop between monetary policy, housing tenure choice (own vs rent) and measured inflation and quantify its consequences. This feedback loop is explained in three parts: i) Housing rents respond positively to contractionary monetary policy shocks; ii) This …