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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP11674 |
DP11674 The Systematic Component of Monetary Policy in SVARs: An Agnostic Identi | |
Juan Francisco Rubio-Ramírez | |
发表日期 | 2016-11-30 |
出版年 | 2016 |
语种 | 英语 |
摘要 | This paper studies the effects of monetary policy shocks using structural VARs. We achieve identication by imposing sign and zero restrictions on the systematic component of monetary policy. We consistently find that an increase in the fed funds rate induces a contraction in output. We also show that the identication strategy in Uhlig (2005), which imposes sign restrictions on the impulse responses to a monetary shock, does not satisfy our restrictions on the systematic component of monetary policy with high posterior probability. This finding accounts for the difference in results with Uhlig (2005), who found that contractionary monetary policy shocks have no clear effect on output. When we reconcile the two approaches by combining both sets of restrictions, monetary policy shocks remain contractionary. |
主题 | Monetary Economics and Fluctuations |
URL | https://cepr.org/publications/dp11674 |
来源智库 | Centre for Economic Policy Research (United Kingdom) |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/540488 |
推荐引用方式 GB/T 7714 | Juan Francisco Rubio-Ramírez. DP11674 The Systematic Component of Monetary Policy in SVARs: An Agnostic Identi. 2016. |
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