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Identification in Structural Vector Autoregressions Through Graphical Modelling and Monetary Policy: A Cross-Country Analysis

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  • Fragetta, Matteo

    ()
    (CELPE (Centre of Labour Economics and Economic Policy), University of Salerno, Italy)

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. We conduct a cross-country analysis, considering European Monetary Union (EMU), Japan and US. We obtain some important results. 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 (US and Japan). Moreover, there is not yet a widespread consensus on whether or not the European Monetary Union should be considered as a closed economy. Our results indicate that EMU official interest rate depends on the US federal funds rate.

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Bibliographic Info

Paper provided by CELPE - Centre of Labour Economics and Economic Policy, University of Salerno, Italy in its series CELPE Discussion Papers with number 112.

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Length: 30 pages
Date of creation: 12 Apr 2010
Date of revision:
Handle: RePEc:sal:celpdp:0112

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Keywords: monetary policy; SVAR; graphical modelling;

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