Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach

Structural vector autoregressions (VARs) are widely used to trace out the effect of monetary policy innovations on the economy. However, the sparse information sets typically used in these empirical models lead to at least two potential problems with the results. First, to the extent that central banks and the private sector have information not reflected in the VAR, the measurement of policy innovations is likely to be contaminated. A second problem is that impulse responses can be observed only for the included variables, which generally constitute only a small subset of the variables that the researcher and policymaker care about. In this paper we investigate one potential solution to this limited information problem, which combines the standard structural VAR analysis with recent developments in factor analysis for large data sets. We find that the information that our factor-augmented VAR (FAVAR) methodology exploits is indeed important to properly identify the monetary transmission mechanism. Overall, our results provide a comprehensive and coherent picture of the effect of monetary policy on the economy.

Distant Measurement of Plethysmographic Signal in Various Lighting Conditions Using Configurable Frame-Rate Camera

Videoplethysmography is currently recognized as a promising noninvasive heart rate measurement method advantageous for ubiquitous monitoring of humans in natural living conditions. Although the method is considered for application in several areas including telemedicine, sports and assisted living, its dependence on lighting conditions and camera performance is still not investigated enough. In this paper we report on research of various image acquisition aspects including the lighting spectrum, frame rate and compression. In the experimental part, we recorded five video sequences in various lighting conditions (fluorescent artificial light, dim daylight, infrared light, incandescent light bulb) using a programmable frame rate camera and a pulse oximeter as the reference. For a video sequence-based heart rate measurement we implemented a pulse detection algorithm based on the power spectral density, estimated using Welch’s technique. The results showed that lighting conditions and selected video camera settings including compression and the sampling frequency influence the heart rate detection accuracy. The average heart rate error also varies from 0.35 beats per minute (bpm) for fluorescent light to 6.6 bpm for dim daylight

Wireless Body Area Network System based on ECG and Accelerometer Pattern

Abstrac

Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach

Structural vector autoregressions (VARs) are widely used to trace out the effect of monetary policy innovations on the economy. However, the sparse information sets typically used in these empirical models lead to at least two potential problems with the results. First, to the extent that central banks and the private sector have information not reflected in the VAR, the measurement of policy innovations is likely to be contaminated. A second problem is that impulse responses can be observed only for the included variables, which generally constitute only a small subset of the variables that the researcher and policymaker care about. In this paper we investigate one potential solution to this limited information problem, which combines the standard structural VAR analysis with recent developments in factor analysis for large data sets. We find that the information that our factor-augmented VAR (FAVAR) methodology exploits is indeed important to properly identify the monetary transmission mechanism. Overall, our results provide a comprehensive and coherent picture of the effect of monetary policy on the economy.Vector autoregression ; Monetary policy