The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach
By M. Forni, Luca Gambetti. 2010
203 citations recorded by the source corpus.
We use the structural factor model proposed by Forni, Giannone, Lippi and Reichlin (2007) to study the eects of monetary policy. The advantage with respect to the traditional vector autoregression model is that we can exploit information from a large data set, made up of 112 US monthly macroeconomic series. Monetary policy shocks are identified using a standard recursive scheme, in which the impact eects
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/4e73eec566f7f0f967fbc52d541bff1c01d2e7a3
How researchers see this paper
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In Economics and Econometrics
- Matteo Barigozzi
- Marco Lippi
- M. Forni
- Jushan Bai
- Marc Hallin
- Matteo Luciani
- Kunpeng Li
- Paolo Zaffaroni
Citations in the corpus
- Dynamic factor models with infinite-dimensional factor spaces: One-sided representations (2015, background): “2009, Forni and Gambetti 2010b), (d) the analysis of financial markets (Corielli and Marcellino 2006, Ludvigson and Ng 2007 and 2009, Hallin et al. 2011), to quote only a few.”
- Non-Stationary Dynamic Factor Models for Large Datasets (2016, methodology): “First, we study the effects of a monetary policy shock, which is identified by using a standard recursive identification scheme, according to which GDP and CPI do not react contemporaneously to the monetary policy shock (see e.g. Forni and Gambetti, 2010).”
- Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy (2014, unknown): “As in Stock and Watson (2005) and Forni and Gambetti (2010c), we take second differences of the log of both prices and monetary aggregates, first differences of interest rates, and, when needed, growth rates are computed on a quarterly basis.11 We label this kind of transformations as heavy, in…”
- Estimation and Inference of FAVAR Models (2014, methodology): “(For example, Boivin, Giannoni, and Mihov (2009), Bianchi, Mumtaz, and Surico (2009), Forni and Gambetti (2010), Moench (2008), and Ludvigson and Ng (2009), to name a few.”
- No News in Business Cycles (2014, unknown): “Moreover, Proposition 4 in Forni and Gambetti (2011), establishes a converse result: assuming that yt is free of measurement errors, if et is orthogonal to ft k, k > 0, then it is a linear combination of the structural shocks.”