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Do measures of monetary policy in a VAR make sense?

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Author Info

  • Glenn D. Rudebusch

Abstract

No. In many VARs, monetary policy shocks are identified with the least squares residuals from a regression of the federal funds rate on an assortment of variables. Such regressions appear to be structurally fragile and are at odds with other evidence on the nature of the Fed's reaction function; furthermore, the residuals from these regressions have little correlation with funds rate shocks that are derived from forward-looking financial markets.

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Bibliographic Info

Paper provided by Federal Reserve Bank of San Francisco in its series Working Papers in Applied Economic Theory with number 96-05.

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Date of creation: 1996
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Publication status: Published in Monetary Policy: Measurement and Management : a conference (1996: March 1) ; International Economic Review (November 1998, v. 39 no. 4, p. 907-931
Handle: RePEc:fip:fedfap:96-05

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Keywords: Vector autoregression ; Monetary policy - United States;

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