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Vectores autoregresivos e identificación de shocks de política monetaria en Argentina

Author

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  • Gastón Ezequiel Utrera

    () (Instituto de Economía y Finanzas- Universidad Nacional de Córdoba)

Abstract

In this paper we use Vector Autoregressions for the estimation of the macroeconomic effects of monetary policy in Argentina during the 1980´s and 1990´s. Special attention is given to problems associated with the identification of monetary policy shocks due to potential omitted variables bias, for which we propose a way to address this issue. Granger causality tests, impulse-response functions, variance decompositions and simulated forecast errors show big structural differences between the 1980's and 1990's. Nevertheless, there is evidence in both periods about potential contractive effects of expansive monetary policies, in line with previous results obtained using error correction models.

Suggested Citation

  • Gastón Ezequiel Utrera, 2004. "Vectores autoregresivos e identificación de shocks de política monetaria en Argentina," Revista de Economía y Estadística, Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas, vol. 0(2), pages 105-126, July.
  • Handle: RePEc:ief:reveye:v:42:y:2004:i:2:p:105-126
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    File URL: http://ief.eco.unc.edu.ar/files/publicaciones/economiayestadistica/2004_42_n2/6_utrera.pdf
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    References listed on IDEAS

    as
    1. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    2. Eric M. Leeper & Christopher A. Sims & Tao Zha, 1996. "What Does Monetary Policy Do?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 27(2), pages 1-78.
    3. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
    4. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
    5. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
    6. Frederic S. Mishkin & Klaus Schmidt-Hebbel, 2001. "One Decade of Inflation Targeting in the World: What Do We Know and What Do We Need to Know?," NBER Working Papers 8397, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Autoregressive Vectors; Monetary Shocks; Monetary Policy; Argentina;

    JEL classification:

    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • 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

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