Monetary Policy and Identification in SVAR Models: A Data Oriented Perspective
AbstractThere is an ongoing debate on how to identify monetary policy shocks in SVAR models. Graphical modelling exploits statistical properties of data for identification and offers a data based tool to shed light on the issue. The information set of the monetary authorities, which is essential for the identification of the monetary shock seems to depend on availability of data in terms of higher frequency with respect to the policy instrument.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 20616.
Date of creation: Jan 2010
Date of revision:
Monetary Policy; SVAR; Graphical Modelling;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-02-27 (All new papers)
- NEP-ECM-2010-02-27 (Econometrics)
- NEP-MON-2010-02-27 (Monetary Economics)
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