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Systematic Monetary Policy in a SVAR for Australia

Author

Listed:
  • Lance A. Fisher

    (Macquarie University)

  • Hyeon-seung Huh

    (Yonsei Univ)

Abstract

A SVAR is estimated over the period of conventional monetary policy in Australia. The monetary policy shock is identified by imposing sign restrictions on the coefficients in the structural equation for the cash rate. There is very high posterior probability on structural models which imply a fall in output and prices, in response to a contractionary monetary policy shock, though the posterior probability of a price puzzle is somewhat higher than for other puzzles. The posterior median estimate of the systematic response of the cash rate to inflation increases noticeably when a price puzzle is ruled out.

Suggested Citation

  • Lance A. Fisher & Hyeon-seung Huh, 2022. "Systematic Monetary Policy in a SVAR for Australia," Working papers 2022rwp-194, Yonsei University, Yonsei Economics Research Institute.
    • Handle: RePEc:yon:wpaper:2022rwp-194
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    References listed on IDEAS

    as
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    Cited by:

    1. Matthew Read, 2023. "Estimating the Effects of Monetary Policy in Australia Using Sign‐restricted Structural Vector Autoregressions," The Economic Record, The Economic Society of Australia, vol. 99(326), pages 329-358, September.

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    More about this item

    Keywords

    monetary policy shocks; structural equations; puzzles; identified set of responses;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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