标题： 摩洛哥货币政策冲击的计量经济学评估：来自贝叶斯因子增强VAR的证据 显示英文标题

标题： Econometric assessment of the monetary policy shocks in Morocco: Evidence from a Bayesian Factor-Augmented VAR

摘要： 使用常见计量经济模型（如VAR或SVAR）分析货币政策冲击的影响会引发若干实证异常。 然而，众所周知，在这些计量经济模型中，使用大量信息会伴随维度问题。 在这一背景下，FAVAR（因子增强VAR）模型的方法试图解决这一问题。 此外，因子中包含的信息对于正确识别货币政策冲击非常重要，并有助于纠正实证工作中通常遇到的实证异常。 按照Bernanke、Boivin和Eliasz（2005）的方法，我们将使用FAVAR模型来分析货币政策冲击对摩洛哥经济的影响。 所使用的模型使我们能够获得所用宏观经济数据集中的所有指标的脉冲响应函数（117个季度频率序列，时间范围从1985年第一季度到2018年第四季度），以更真实和完整地表示货币政策冲击在摩洛哥的影响。 显示英文摘要

摘要： The analysis of the effects of monetary policy shocks using the common econometric models (such as VAR or SVAR) poses several empirical anomalies. However, it is known that in these econometric models the use of a large amount of information is accompanied by dimensionality problems. In this context, the approach in terms of FAVAR (Factor Augmented VAR) models tries to solve this problem. Moreover, the information contained in the factors is important for the correct identification of monetary policy shocks and it helps to correct the empirical anomalies usually encountered in empirical work. Following Bernanke, Boivin and Eliasz (2005) procedure, we will use the FAVAR model to analyze the impact of monetary policy shocks on the Moroccan economy. The model used allows us to obtain impulse response functions for all indicators in the macroeconomic dataset used (117 quarterly frequency series from 1985: Q1 to 2018: Q4) to have a more realistic and complete representation of the impact of monetary policy shocks in Morocco.