time-varying parameters FAVAR

Estimating a time-varying financial conditions index for South Africa?

This paper uses 39 monthly time series of the financial market observed from January 2000 to April 2017 to estimate a financial conditions index (FCI) for South Africa. The empirical technique used is a dynamic factor model with time-varying factor loadings proposed by Koop and Korobilis (2014) based on the principal component analysis and the Kalman smoother.
Subscribe to RSS - time-varying parameters FAVAR