Vectores autoregresivos e identificación de shocks de política monetaria en Argentina
AbstractIn this paper we use Vector Autoregressions for the estimation of the macroeconomic effects of monetary policy in Argentina during the 1980´s and 1990´s. Special attention is given to problems associated with the identification of monetary policy shocks due to potential omitted variables bias, for which we propose a way to address this issue. Granger causality tests, impulse-response functions, variance decompositions and simulated forecast errors show big structural differences between the 1980's and 1990's. Nevertheless, there is evidence in both periods about potential contractive effects of expansive monetary policies, in line with previous results obtained using error correction models.
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Bibliographic InfoArticle provided by Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas in its journal Revista de Economía y Estadística.
Volume (Year): XLII (2004)
Issue (Month): 2 (July)
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More information through EDIRC
Autoregressive Vectors; Monetary Shocks; Monetary Policy; Argentina;
Find related papers by JEL classification:
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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