Mardi | 2011-04-19
B103

Lasse BORK – Hans DEWACHTER – Romain HOUSSA

This paper presents a dynamic factor model where the extracted factorsand shocks are given a clear economic interpretation. The economic inter-pretation of the factors is obtained by means of a set of over-identifyingloading restrictions, while the structural shocks are estimated followingstandard practices in the SVAR literature. Estimators based on the EMalgorithm are developed. We apply this framework to a large panel of USmonthly macroeconomic series. In particular, we identify …ve macroeco-nomic factors and discuss the economic impact of monetary policy shocks.The results are theoretically more plausible than those implied by standardSVAR models and indicate a signi…cant role for monetary policy shocks inmacroeconomic dynamics.