G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11674
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
URLhttps://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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