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Identification of Monetary Policy in SVAR Models: A Data-Oriented Perspective

  • Matteo Fragetta

    (University of Salerno)

  • Giovanni Melina

    (University of Surrey)

This paper applies graphical modelling theory to recover identifying restrictions for the analysis of monetary policy shocks in a VAR of the US economy. Results are in line with the view that only high-frequency data should be assumed to be in the information set of the monetary authority when the interest rate decision is taken.

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File URL: http://www.fahs.surrey.ac.uk/economics/discussion_papers/2011/DP08-11.pdf
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Paper provided by School of Economics, University of Surrey in its series School of Economics Discussion Papers with number 0811.

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Length: 16 pages
Date of creation: Jul 2011
Date of revision:
Handle: RePEc:sur:surrec:0811
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Web page: http://www.surrey.ac.uk/economics/
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  1. Arturo Estrella & Frederic S. Mishkin, 1996. "Is There a Role for Monetary Aggregates in the Conduct of Monetary Policy?," NBER Working Papers 5845, National Bureau of Economic Research, Inc.
  2. Kim, Soyoung & Roubini, Nouriel, 2000. "Exchange rate anomalies in the industrial countries: A solution with a structural VAR approach," Journal of Monetary Economics, Elsevier, vol. 45(3), pages 561-586, June.
  3. Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001. "Nominal rigidities and the dynamic effects of a shock to monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
  4. Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2005. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," CEPR Discussion Papers 4835, C.E.P.R. Discussion Papers.
  5. Kilian, Lutz, 2001. "Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(3), pages 161-79, April.
  6. Giordani, Paolo, 2004. "An alternative explanation of the price puzzle," Journal of Monetary Economics, Elsevier, vol. 51(6), pages 1271-1296, September.
  7. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
  8. Ben S. Bernanke, 1986. "Alternative Explanations of the Money-Income Correlation," NBER Working Papers 1842, National Bureau of Economic Research, Inc.
  9. Oxley, Les & Reale, Marco & Wilson, Granville Tunnicliffe, 2009. "Constructing structural VAR models with conditional independence graphs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2910-2916.
  10. Anthony Garratt & Kevin Lee & Mohammad Hashem Pesaran & Yongcheol Shin, 2001. "A long run structural macroeconometric model of the UK," ESE Discussion Papers 35, Edinburgh School of Economics, University of Edinburgh.
  11. James H. Stock & Mark W. Watson, 2001. "Vector Autoregressions," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 101-115, Fall.
  12. Michael Woodford, 2008. "How Important Is Money in the Conduct of Monetary Policy?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(8), pages 1561-1598, December.
  13. Matteo Fragetta & Giovanni Melina, 2011. "The Effects Of Fiscal Policy Shocks In Svar Models: A Graphical Modelling Approach," Scottish Journal of Political Economy, Scottish Economic Society, vol. 58(4), pages 537-566, 09.
  14. Inoue, Atsushi & Kilian, Lutz, 2006. "On the selection of forecasting models," Journal of Econometrics, Elsevier, vol. 130(2), pages 273-306, February.
  15. BENNETT T. McCALLUM, 2008. "How Important Is Money in the Conduct of Monetary Policy? A Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(8), pages 1783-1790, December.
  16. Matteo Fragetta & Giovanni Melina, 2010. "The Effects of Fiscal Shocks in SVAR Models: A Graphical Modelling Approach," Birkbeck Working Papers in Economics and Finance 1006, Birkbeck, Department of Economics, Mathematics & Statistics.
  17. Christopher A. Sims, 1992. "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," Cowles Foundation Discussion Papers 1011, Cowles Foundation for Research in Economics, Yale University.
  18. Granville Tunnicliffe Wilson & Marco Reale, 2008. "The sampling properties of conditional independence graphs for I(1) structural VAR models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 802-810, 09.
  19. Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 1994. "The effects of monetary policy shocks: evidence from the Flow of Funds," Working Paper Series, Macroeconomic Issues 94-2, Federal Reserve Bank of Chicago.
  20. Eichenbaum, Martin, 1992. "'Interpreting the macroeconomic time series facts: The effects of monetary policy' : by Christopher Sims," European Economic Review, Elsevier, vol. 36(5), pages 1001-1011, June.
  21. Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2009. "On the evolution of the monetary policy transmission mechanism," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 997-1017, April.
  22. Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," Review of Economic Studies, Oxford University Press, vol. 72(3), pages 821-852.
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