ECB paper aims to improve small-scale models for assessing policy shocks
Small-scale vector autoregressive (VAR) models may struggle to capture the nuances of how people form expectations of the future, but better options are available, a working paper published on September 30 by the European Central Bank (ECB) finds.
Authors Lucia Alessi and Mark Kerssenfischer design a structural factor model (SFM) in the place of the VARs in their paper The response of asset prices to monetary policy shocks: stronger than thought. Their model implies data fits better with theory
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe
You are currently unable to print this content. Please contact info@centralbanking.com to find out more.
You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@centralbanking.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@centralbanking.com
Most read
- Initiative of the year: the Netherlands Bank’s ChatDNB
- Central Banking Awards 2024: fourth round announced
- Central bank of the year: Central Bank of Brazil