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Structural Vector Autoregressions and the Analysis of Monetary Policy Interventions: The Swiss Case

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  • Peter Kugler
  • Thomas J. Jordan
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    Abstract

    This paper estimates a structural VAR model for Switzerland consisting of key macroeconomic variables with quarterly data from 1974 to 2002, which allows the identification of a monetary policy shock with plausible impulse response patterns. Conditional forecasts generated by this model are used to analyse monetary policy within the new policy framework of the Swiss National Bank. The generation of these conditional forecasts attempts to take the Lucas critique into account.

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    File URL: http://www.sjes.ch/papers/2004-I-3.pdf
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    Bibliographic Info

    Article provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.

    Volume (Year): 140 (2004)
    Issue (Month): I (March)
    Pages: 67-87

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    Handle: RePEc:ses:arsjes:2004-i-3

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    Related research

    Keywords: Structural VAR; monetary policy shock; conditional forecasts; Lucas critique;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Zha, Tao, 1999. "Block recursion and structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 90(2), pages 291-316, June.
    2. Leeper, Eric M. & Zha, Tao, 2003. "Modest policy interventions," Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1673-1700, November.
    3. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
    4. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
    5. Gali, Jordi, 1992. "How Well Does the IS-LM Model Fit Postwar U.S. Data," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 709-38, May.
    6. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    7. Matthew Shapiro & Mark Watson, 1988. "Sources of Business Cycles Fluctuations," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 111-156 National Bureau of Economic Research, Inc.
    8. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986. "Forecasting and conditional projection using realistic prior distribution," Staff Report 93, Federal Reserve Bank of Minneapolis.
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    Citations

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    Cited by:
    1. Kugler, Peter & Jordan, Thomas J. & Lenz, Carlos & Savioz, Marcel R., 2005. "GDP data revisions and forward-looking monetary policy in Switzerland," The North American Journal of Economics and Finance, Elsevier, vol. 16(3), pages 351-372, December.
    2. Gregor Bäurle & Elizabeth Steiner, 2013. "How do individual sectors respond to macroeconomic shocks? A structural dynamic factor approach applied to Swiss data," Working Papers 2013-09, Swiss National Bank.

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