A factor augmented VAR model for monetary policy under climate risk
Bottaro, Mariacristina (A.A. 2021/2022) A factor augmented VAR model for monetary policy under climate risk. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 74. [Master's Degree Thesis]
|
PDF (Full text)
Download (1MB) | Preview |
Abstract/Index
Literature review of factor models. The Dynamic factor models (DFMs). Determining the number of factors in DFM. VAR and FAVAR Models. VAR Model. FAVAR Model. Bayesian estimation of FAVAR model. Bayesian notation. Empirical results. Data description. Interpreting results. Proof that the static form of DFMs is equal to the dynamic for of DFMs. MATLAB code.
References
Bibliografia: pp. 55-57.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Econometric theory |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Lippi, Francesco |
| Academic Year: | 2021/2022 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 03 Oct 2022 14:31 |
| Last Modified: | 03 Oct 2022 14:31 |
| URI: | https://tesi.luiss.it/id/eprint/33517 |
Downloads
Downloads per month over past year
Repository Staff Only
 |
View Item |
