The Effects of Monetary Policy Shocks: Comparing Contemporaneous versus Long-Run Identifying Restrictions
AbstractThis study compares the effects of monetary policy shocks on the macroeconomy using four different procedures for identifying policy shocks that use contemporaneous restrictions and a procedure that uses long-run restrictions. Impulse response functions are computed using the same vector autoregressive (VAR) model and sample period. The comparison is done for a model that includes only a short-term interest rate and for a model that adds a long-term rate as well. Sources of differences in the magnitude of effects across identification schemes are examined.
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Bibliographic InfoArticle provided by Southern Economic Association in its journal Southern Economic Journal.
Volume (Year): 67 (2001)
Issue (Month): 3 (January)
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