Gabriel Lutz code for FAVAR model

[mntran]

Hi,

I am reading paper: " the impact of unconventional monetary on real estate markets" written by Stuart Gabriel, Chandler Lutz (2014). It mirrors the methods used by Bernanke, Boivin and Eliasz (2004) but apply to unconventional event. I am not quite understand step by step to run this model with unconventional monetary policy. Could anyone kindly help me deal with this problem.

Thank you for your time
M Tran

[TomDoan]

Hi,

I am reading paper: " the impact of unconventional monetary on real estate markets" written by Stuart Gabriel, Chandler Lutz (2014). It mirrors the methods used by Bernanke, Boivin and Eliasz (2004) but apply to unconventional event. I am not quite understand step by step to run this model with unconventional monetary policy. Could anyone kindly help me deal with this problem.

Thank you for your time
M Tran

The paper has relatively little to do with BBE, but is more similar to the Wright(2012) reference. From what I can see, they're adding a FAVAR step to what Wright did. So you really need to understand the Wright paper first.

[mntran]

Thank you so much for your advice!