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Monetary policy shocks and Cholesky VARs: an assessment for the Euro area

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  • Efrem Castelnuovo

    (Department of Economics and Melbourne Institute of Applied Economic and Social Research
    University of Padova)

Abstract

An estimated monetary policy VAR with 1993:IV–2008:III Euro data returns an insignificant response of inflation and a borderline significant reaction of the output gap to monetary policy shocks identified with the widely employed Cholesky restrictions. We replicate this evidence with a Monte Carlo exercise, in which the true responses of inflation and the output gap, according to an estimated DSGE model which we use as data-generating process, are negative. Consequently, insignificant macroeconomic reactions to policy shocks as documented by a small-scale Cholesky-VAR for the Euro area do not necessarily point to monetary policy neutrality. Differently, the Cholesky-VAR evidence may very well be due to false short-run zero-restrictions. A data-driven discussion on this reading of the drivers of our Cholesky-VAR impulse responses versus alternative interpretations such as omitted factors and structural breaks is proposed.

Suggested Citation

  • Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    • Handle: RePEc:spr:empeco:v:50:y:2016:i:2:d:10.1007_s00181-015-0930-2
    DOI: 10.1007/s00181-015-0930-2
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    Cited by:

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    3. Helmut Herwartz & Alexander Lange & Simone Maxand, 2022. "Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 668-693, April.
    4. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
    5. SYED, Sarfaraz Ali Shah, 2021. "Heterogeneous consumers in the Euro-Area, facing homogeneous monetary policy: Tale of two large economies," The Journal of Economic Asymmetries, Elsevier, vol. 24(C).

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    More about this item

    Keywords

    Monetary policy shocks; Cholesky VARs; Dynamic stochastic general equilibrium models; Bayesian estimation; Euro area;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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