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Monetary Policy and Identification in SVAR Models: A Data Oriented Perspective

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  • Fragetta, Matteo

Abstract

There 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.

Suggested Citation

  • Fragetta, Matteo, 2010. "Monetary Policy and Identification in SVAR Models: A Data Oriented Perspective," MPRA Paper 20616, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:20616
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    References listed on IDEAS

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    1. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2005. "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy," Journal of Political Economy, University of Chicago Press, vol. 113(1), pages 1-45, February.
    2. Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
    3. Oxley, Les & Reale, Marco & Wilson, Granville Tunnicliffe, 2009. "Constructing structural VAR models with conditional independence graphs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2910-2916.
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    More about this item

    Keywords

    Monetary Policy; SVAR; Graphical Modelling;
    All these keywords.

    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; State Space Models
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General

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