Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach

# Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach > OpenAlex Metadata Hub · https://openalex.org/W2133073622 ## Bibliographic - **DOI:** 10.1162/0033553053327452 - **Year:** 2005 - **Citations:** 1809 - **Open Access:** No (closed) - **License:** — - **Source:** https://doi.org/10.1162/0033553053327452 ## Authors - Ben Bernanke - Jean Boivin - Piotr Eliasz ## Abstract Structural vector autoregressions (VARs) are widely used to trace out the effect of monetary policy innovations on the economy. However, the sparse information sets typically used in these empirical models lead to at least three potential problems with the results. First, to the extent that central banks and the private sector have information not reflected in the VAR, the measurement of policy innovations is likely to be contaminated. Second, the choice of a specific data series to represent a general economic concept such as “real activity” is often arbitrary to some degree. Third, impulse responses can be observed only for the included variables, which generally constitute only a small subset of the variables that the researcher and policy-maker care about. In this paper we investigate one potential solution to this limited information problem, which combines the standard structural VAR analysis with recent developments in factor analysis for large data sets. We find that the information that our factor-augmented VAR (FAVAR) methodology exploits is indeed important to properly identify the monetary transmission mechanism. Overall, our results provide a comprehensive and coherent picture of the effect of monetary policy on the economy. ## Keywords Autoregressive model, Monetary policy, Vector autoregression, Economics, Library science, Econometrics, Computer science, Keynesian economics ## Concepts - Autoregressive model - Monetary policy - Vector autoregression - Economics - Library science - Econometrics - Computer science - Keynesian economics --- *Metadata only — full text not imported unless Open Access license permits.*

Bài “Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach” được TradingBase chuyển thành Knowledge Product cho trader — không phải trang đọc abstract OpenAlex. Tóm lược học thuật (đã diễn giải): Structural vector autoregressions (VARs) are widely used to trace out the effect of monetary policy innovations on the economy. However, the sparse information sets typically used in these empirical models lead to at least three potential problems with the results. First, to the extent that central banks and the private sector have information not reflected in the VAR, the measurement of policy innovations is likely to be contaminated. Second, the choice of a specific data series to represent a general economic concept such as “real activity” is often arbitrary to some degree. Third, impulse responses can be observed only for the included variables, which generally constitute only a small subset of the variables that the researcher and policy-maker care about. In this paper we investigate one potential solution to this limited information problem, which combines the standard structural V… Phần Trading Insights bên dưới nối nghiên cứu với Forex, vàng, USD, lãi suất và risk regime — để bạn đưa vào journal và playbook. Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.