000			02598cam a22003497 4500
001			w10220
003			NBER
005			20211020112844.0
006			m o d
007			cr cnu||||||||
008			210910s2004 mau fo 000 0 eng d
100	1		_aBernanke, Ben S.
245	1	0	_aMeasuring the Effects of Monetary Policy: _bA Factor-Augmented Vector Autoregressive (FAVAR) Approach / _cBen S. Bernanke, Jean Boivin, Piotr Eliasz.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2004.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w10220
500			_aJanuary 2004.
520	3		_aStructural vector autoregressions (VARs) are widely used to trace out the effect of monetary policy innovations on the economy. However, the sparse information sets typically used in these empirical models lead to at least two potential problems with the results. First, to the extent that central banks and the private sector have information not reflected in the VAR, the measurement of policy innovations is likely to be contaminated. A second problem is that impulse responses can be observed only for the included variables, which generally constitute only a small subset of the variables that the researcher and policymaker care about. In this paper we investigate one potential solution to this limited information problem, which combines the standard structural VAR analysis with recent developments in factor analysis for large data sets. We find that the information that our factor-augmented VAR (FAVAR) methodology exploits is indeed important to properly identify the monetary transmission mechanism. Overall, our results provide a comprehensive and coherent picture of the effect of monetary policy on the economy.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aE3 - Prices, Business Fluctuations, and Cycles _2Journal of Economic Literature class.
690		7	_aE4 - Money and Interest Rates _2Journal of Economic Literature class.
700	1		_aBoivin, Jean. _96509
700	1		_aEliasz, Piotr.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w10220.
856	4	0	_uhttps://www.nber.org/papers/w10220
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w10220
942			_2ddc _cW-PAPER
999			_c337951 _d296513