The effects of monetary policy using structural factor analysis

Volume: 45, Issue: 18, Pages: 2511 - 2526
Published: Jun 1, 2013
Abstract
The traditional Vector Autoregression (VAR) method is widely used to trace out the effects of monetary policy innovations on the economy. However, this method suffers from the curse of dimensionality, so that in practice VARs are estimated on a limited number of variables, leading to a potential missing information problem. In this article we use the method of structural factor analysis to evaluate the effects of monetary policy on key...
Paper Details
Title
The effects of monetary policy using structural factor analysis
Published Date
Jun 1, 2013
Volume
45
Issue
18
Pages
2511 - 2526
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