On the Derivation of Monetary Policy Shocks: Should We Throw the VAR Out with the Bath Water?
This paper considers an alternative econometric approach to the standard VAR methodology for identifying and estimating the effects of monetary policy shocks. The alternative approach makes more reasonable assumptions about economic agents' information set by: 1) restructuring the VAR variables according to what data are actually observable in each point in time, and 2) augmenting the VAR model with available measures of market participants' expectations of various economic variables, thus increasing the assumed information set. Should we throw the VAR out with the bath water? Unfortunately, the results of this paper are somewhat inconclusive. The expectations measures prove to be quite valuable--the variances of all innovations are reduced by at least one-half compared to the standard VAR innovations. Nevertheless, the innovations, monetary policy shocks, and impulse responses for both methods are fairly similar. Indeed, they are similar enough that the standard VAR approach cannot be rejected out of hand, but dissimilar enough that the standard approach cannot be validated.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 32 (2000)
Issue (Month): 2 (May)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879|
This item is featured on the following reading lists or Wikipedia pages:
When requesting a correction, please mention this item's handle: RePEc:mcb:jmoncb:v:32:y:2000:i:2:p:254-79. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.