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Identification of monetary policy shocks and its effects: FAVAR methodology for the Brazilian economy

Brazilian Review of Econometrics

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Title Identification of monetary policy shocks and its effects: FAVAR methodology for the Brazilian economy
Identification of monetary policy shocks and its effects: FAVAR methodology for the Brazilian economy
 
Creator Rossi Júnior, José Luiz; INSPER - Instituto de Ensino e Pesquisa
 
Subject FAVAR; monetary policy; principal component
E52; E58
FAVAR; monetary policy; principal component
E52; E58
 
Description This paper applies the factor-augmented vector autoregressive methodology (FAVAR) to analyze the impacy of monetary policy shocks on the Brazilian economy, using 125 monthly series for the period between January of 1995 and September of 2009. Overall, the results obtained were consistent with economic theory and no price puzzle is observed. The paper also compared the FAVAR with the VAR methodologies, concluding that the results were very similar under both methodologies and that the gain of using the FAVAR methodology is very limited when Brazilian data is used to study the effects of monetary shocks.
This paper applies the factor-augmented vector autoregressive methodology (FAVAR) to analyze the impacy of monetary policy shocks on the Brazilian economy, using 125 monthly series for the period between January of 1995 and September of 2009. Overall, the results obtained were consistent with economic theory and no price puzzle is observed. The paper also compared the FAVAR with the VAR methodologies, concluding that the results were very similar under both methodologies and that the gain of using the FAVAR methodology is very limited when Brazilian data is used to study the effects of monetary shocks.
 
Publisher Sociedade Brasileira de Econometria
 
Date 2009-12-01
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
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Format application/pdf
 
Identifier http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3444
10.12660/bre.v29n22009.3444
 
Source Brazilian Review of Econometrics; Vol 29, No 2 (2009); 285-313
Brazilian Review of Econometrics; Vol 29, No 2 (2009); 285-313
1980-2447
 
Language eng
 
Relation http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/3444/2206