Analyzing Monetary Policy Transmission Mechanism Using Factor Augmented Vector Auto Regression

Hakimzadi Wagan

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Analyzing Monetary Policy Transmission Mechanism Using Factor Augmented Vector Auto Regression

机译：基于因子增强向量自回归的货币政策传导机制分析。

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This study models the transmission mechanism of monetary policy by employing Factor Augmented VectorAuto Regressive (FAVAR) methodology, introduced by Bernanke et al., (2005). We use large data consisting of economic and financial markets for U.S, Canada and U.K. We find strong evidence that factors have additional information. We find that due to tight monetary policy shock output declines and employment decreases. Short term and 10 year interest rates increase due to contractionary monetary policy in these countries.

机译：本研究采用伯南克等人（2005）引入的因子增强向量自动回归（FAVAR）方法对货币政策的传导机制进行建模。我们使用包含美国，加拿大和英国的经济和金融市场的大数据。我们发现有力的证据表明因素具有更多信息。我们发现，由于紧缩的货币政策，冲击导致产出下降，就业减少。由于这些国家采取紧缩性货币政策，短期利率和10年期利率都会提高。

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《European Journal of Business and Management》 |2016年第4期|共8页
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Hakimzadi Wagan;
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1. Analyzing Monetary Policy Transmission Mechanism Using Factor Augmented Vector Auto Regression [J] . Hakimzadi Wagan European Journal of Business and Management . 2016,第4期

机译：基于因子增强向量自回归的货币政策传导机制分析。
2. A factor-augmented vector autoregressive (FAVAR) approach for monetary policy: Replication of the empirical results in 'measuring the effects of monetary policy' [J] . Luvsannyam Davaajargal, Batmunkh Khuslen Journal of applied econometrics . 2019,第5期

机译：货币政策的因子增强向量自回归（FAVAR）方法：复制经验结果以“衡量货币政策的影响”
3. A factor-augmented vector autoregressive (FAVAR) approach for monetary policy: Replication of the empirical results in 'measuring the effects of monetary policy' [J] . Luvsannyam Davaajargal, Batmunkh Khuslen Journal of applied econometrics . 2019,第5期

机译：货币政策的因素增强的传染媒介自回归（Favar）方法：“衡量货币政策影响”的实证结果复制
4. Monetary Policy and Factor-Augmented VAR Model [C] . Andreea Rosoiu Emerging Markets Queries in Finance and Business Conference . 2016

机译：货币政策和因子增强var模型
5. Estimating the impact, transmission mechanism and reaction function of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach. [D] . Senbet, Dawit Legesse. 2007

机译：估计货币政策的影响，传导机制和反应功能：因子增强向量自回归（FAVAR）方法。
6. Support Vector Regression-based Model to Analyze Prognosis of Infants with Congenital Muscular Torticollis [O] . Suk-Tae Seo, In-Hee Lee, Chang-Sik Son, 2010

机译：基于支持向量回归的模型分析先天性肌性斜颈婴儿的预后
7. A Factor-Augmented Vector Autoregressive Approach to Analyze the Transmission of Monetary Policy [O] . Zulfiqar Ali Wagan, Zhang Chen, Hakimzadi Wagan 2019

机译：一种因素增强的传染媒介自归方法来分析货币政策的传输

Analyzing Monetary Policy Transmission Mechanism Using Factor Augmented Vector Auto Regression

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