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Structural Vector Autoregressions and the Analysis of Monetary Policy Interventions: The Swiss Case

  • Peter Kugler
  • Thomas J. Jordan
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    This paper estimates a structural VAR model for Switzerland consisting of key macroeconomic variables with quarterly data from 1974 to 2002, which allows the identification of a monetary policy shock with plausible impulse response patterns. Conditional forecasts generated by this model are used to analyse monetary policy within the new policy framework of the Swiss National Bank. The generation of these conditional forecasts attempts to take the Lucas critique into account.

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    File URL: http://www.sjes.ch/papers/2004-I-3.pdf
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    Article provided by Swiss Society of Economics and Statistics (SSES) in its journal Swiss Journal of Economics and Statistics.

    Volume (Year): 140 (2004)
    Issue (Month): I (March)
    Pages: 67-87

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    Handle: RePEc:ses:arsjes:2004-i-3
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    1. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
    2. Eric M. Leeper & Tao Zha, 1999. "Modest policy interventions," Working Paper 99-22, Federal Reserve Bank of Atlanta.
    3. Gali, Jordi, 1992. "How Well Does the IS-LM Model Fit Postwar U.S. Data," The Quarterly Journal of Economics, MIT Press, vol. 107(2), pages 709-38, May.
    4. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
    5. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983. "Forecasting and Conditional Projection Using Realistic Prior Distributions," NBER Working Papers 1202, National Bureau of Economic Research, Inc.
    6. Matthew Shapiro & Mark Watson, 1988. "Sources of Business Cycles Fluctuations," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 111-156 National Bureau of Economic Research, Inc.
    7. Zha, Tao, 1999. "Block recursion and structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 90(2), pages 291-316, June.
    8. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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