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The Effects of Monetary Policy Shocks: Comparing Contemporaneous versus Long‐Run Identifying Restrictions

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  • W. Douglas McMillin

Abstract

This study compares the effects of monetary policy shocks on the macroeconomy using four different procedures for identifying policy shocks that use contemporaneous restrictions and a procedure that uses long‐run restrictions. Impulse response functions are computed using the same vector autoregressive (VAR) model and sample period. The comparison is done for a model that includes only a short‐term interest rate and for a model that adds a long‐term rate as well. Sources of differences in the magnitude of effects across identification schemes are examined.

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  • W. Douglas McMillin, 2001. "The Effects of Monetary Policy Shocks: Comparing Contemporaneous versus Long‐Run Identifying Restrictions," Southern Economic Journal, John Wiley & Sons, vol. 67(3), pages 618-636, January.
    • Handle: RePEc:wly:soecon:v:67:y:2001:i:3:p:618-636
    DOI: 10.1002/j.2325-8012.2001.tb00359.x
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