Work

Identification of Macroeconomic Factors in Large Panels

Year: 2009

Type: preprint

Abstract: This paper presents a dynamic factor model in which the extracted factors and shocks are given a clear economic interpretation. The economic interpretation of the factors is obtained by means of a set of over-identifying loading restrictions, while the structural shocks are estimated following standard practices in the SVAR literature. Estimators based on the EM algorithm are developped. We apply this framework to a large panel of US monthly macroeconomic series. In particular, we identify nine macroeconomic factors and discuss the economic impact of monetary policy stocks. The results are theoretically plausible and in line with other findings in the literature.

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1480629

Authors: Lasse Bork, Hans Dewachter, Romain Houssa

Institutions: Aalborg University, Erasmus University Rotterdam, KU Leuven, University of Namur

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3124277368

Cites: 10

Cited by: 12

Related to: 10