Identification in Structural Vector Autoregressions Through Graphical Modelling and Monetary Policy: A Cross-Country Analysis
There is an ongoing debate on how to identify monetary policy shocks in SVAR models. Graphical modelling exploits statistical properties of data for identification and offers a data based tool to shed light on the issue. We conduct a cross-country analysis, considering European Monetary Union (EMU), Japan and US. We obtain some important results. The information set of the monetary authorities, which is essential for the identification of the monetary shock seems to depend on availability of data in terms of higher frequency with respect to the policy instrument (US and Japan). Moreover, there is not yet a widespread consensus on whether or not the European Monetary Union should be considered as a closed economy. Our results indicate that EMU official interest rate depends on the US federal funds rate.
|Date of creation:||12 Apr 2010|
|Contact details of provider:|| Postal: via Giovanni Paolo II, 132, 84084 - Fisciano (SA), ITALY|
Phone: +39 089 962152 -
Fax: +39 089 962049
Web page: http://www.celpe.unisa.it
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:sal:celpdp:0112. 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: (Paolo Coccorese)
If references are entirely missing, you can add them using this form.