Jacobson, Tor () (Research Department, Central Bank of Sweden) Jansson, Per (National Institute of Economic Research) Vredin, Anders () (Research Department, Central Bank of Sweden) Warne, Anders () (European Central Bank)
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This paper presents estimates of the effects of monetary policy shocks on the Swedish economy. A theoretical model of an open economy is used to identify a structural VAR model. The empirical results from the identified VAR model are compared with two less structural approaches for identification of monetary policy shocks. The first assumes that shocks can be measured as deviations from a forward looking interest rate rule, estimated using Sveriges Riksbank's (Swedish central bank) own forecasts. The second approach focuses on the effects of "narrative" monetary policy shocks as given by devaluations of the Swedish currency. We find that plausible theoretical restrictions often result in price puzzles. Although conventional results obtain with certain theoretical restrictions imposed on the VAR, another way to achieve this is by using external information about large policy shocks. Thus, we find that the effects of some devaluations are consistent with the conventional wisdom about the effects of monetary policy shock.
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Paper provided by Sveriges Riksbank (Central Bank of Sweden) in its series Working Paper Series with number
134.
References listed on IDEAS 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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