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Vectores autoregresivos e identificación de shocks de política monetaria en Argentina

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  • Gastón Ezequiel Utrera

    ()
    (Instituto de Economía y Finanzas- Universidad Nacional de Córdoba)

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    Abstract

    In 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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    File URL: http://ief.eco.unc.edu.ar/files/publicaciones/economiayestadistica/2004_42_n2/6_utrera.pdf
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    Bibliographic Info

    Article 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)
    Pages: 105-126

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    Handle: RePEc:ief:reveye:v:42:y:2004:i:2:p:105-126

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    Related research

    Keywords: Autoregressive Vectors; Monetary Shocks; Monetary Policy; Argentina;

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    References

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    1. Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.
    2. Frederic S. Mishkin & Klaus Schmidt-Hebbel, 2001. "One decade of inflation targeting in the world : What do we know and what do we need to know?," Working Papers Central Bank of Chile 101, Central Bank of Chile.
    3. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
    4. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
    5. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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