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The Effects of Monetary Policy Shocks: Comparing Contemporaneous versus Long-Run Identifying Restrictions

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  • W. Douglas McMillin

    ()
    (Department of Economics, Louisiana State University)

Abstract

This 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 Info

Article provided by Southern Economic Association in its journal Southern Economic Journal.

Volume (Year): 67 (2001)
Issue (Month): 3 (January)
Pages: 618-636

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Handle: RePEc:sej:ancoec:v:67:3:y:2001:p:618-636

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Web page: http://www.southerneconomic.org/
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Cited by:
  1. Carlos Vargas-Silva, 2007. "Monetary policy and the U.S. housing market: A VAR analysis imposing sign restrictions," Working Papers, Sam Houston State University, Department of Economics and International Business 0705, Sam Houston State University, Department of Economics and International Business.
  2. Tomas Havranek & Marek Rusnak, 2012. "Transmission Lags of Monetary Policy: A Meta-Analysis," Working Papers, Czech National Bank, Research Department 2012/10, Czech National Bank, Research Department.
  3. Lastrapes, William D., 2002. "The Real Price of Housing and Money Supply Shocks: Time Series Evidence and Theoretical Simulations," Journal of Housing Economics, Elsevier, Elsevier, vol. 11(1), pages 40-74, March.
  4. Berument, Hakan & Froyen, Richard T., 2006. "Monetary policy and long-term US interest rates," Journal of Macroeconomics, Elsevier, Elsevier, vol. 28(4), pages 737-751, December.
  5. Gupta, Abhay, 2004. "Comparing Bank Lending Channel in India and Pakistan," MPRA Paper 9281, University Library of Munich, Germany.
  6. Keuk-Soo Kim & W. Douglas McMillin, 2003. "Estimating the effects of monetary policy shocks: does lag structure matter?," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 35(13), pages 1515-1526.
  7. Ronayne, David, 2011. "Which Impulse Response Function?," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 971, University of Warwick, Department of Economics.

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