Factor-Augmented Vector Autoregression with narrative identification. An application to monetary policy in the US
扩展了贝叶斯因子增强向量自回归模型，引入基于外部工具变量的识别方案，发现美国货币紧缩对经济有收缩效应，且大信息集有助于缓解价格和实际经济谜题。
We extend the Bayesian Factor-Augmented Vector Autoregressive model (FAVAR) to incorporate an identification scheme based on an external instrument approach. Using this novel modelling framework, we show that a monetary policy tightening in the United States has contractionary effects on the economy. Moreover, accounting for a large information set seems to help mitigate price and real economic puzzles in the estimated impulse responses.