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- W2336934996 abstract "Abstract Standard time varying parameter (TVP) models usually assume independent stochastic processes. In this paper, I show that the number of underlying sources of parameters’ time variation is likely to be small, and provide empirical evidence for factor structure amongst TVPs of popular macroeconomic models. In order to test for the presence of low dimension sources of time variation in parameters and estimate their magnitudes, I develop the factor time varying parameter (Factor-TVP) framework and apply it to [Primiceri, G.E. (2005), “Time Varying Structural Vector Autoregressions and Monetary Policy,” The Review of Economic Studies , 72, 821–852] monetary TVP-VAR model. I find that one factor explains most of the variability in VAR coefficients, while the stochastic volatility parameters vary independently. The inclusion of post-“Great Recession” data causes an important change within VAR coefficients and the procedure suggests two factors. The roots of variability in the VAR parameters are likely to have derived from the financial markets and the real sector. The TVP factors have predictive power for a large number of output, investment, and employment series, as well as for the term structure of interest rates." @default.
- W2336934996 created "2016-06-24" @default.
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- W2336934996 date "2015-10-10" @default.
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- W2336934996 title "Common time variation of parameters in reduced-form macroeconomic models" @default.
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- W2336934996 doi "https://doi.org/10.1515/snde-2014-0064" @default.
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