| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12911 |
| DP12911 Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations | |
| Christiane Baumeister; James Hamilton | |
| 发表日期 | 2018-05-04 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Reporting point estimates and error bands for structural vector autoregressions that are only set identified is a very common practice. However, unless the researcher is persuaded on the basis of prior information that some parameter values are more plausible than others, this common practice has no formal justification. When the role and reliability of prior information is defended, Bayesian posterior probabilities can be used to form an inference that incorporates doubts about the identifying assumptions. We illustrate how prior information can be used about both structural coefficients and the impacts of shocks, and propose a new distribution, which we call the asymmetric t distribution, for incorporating prior beliefs about the signs of equilibrium impacts in a nondogmatic way. We apply these methods to a three-variable macroeconomic model and conclude that monetary policy shocks were not the major driver of output, inflation, or interest rates during the Great Moderation. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Structural vector autoregressions Set identification Informative priors Model uncertainty monetary policy Impulse-response functions Historical decompositions |
| URL | https://cepr.org/publications/dp12911 |
| 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/541722 |
| 推荐引用方式 GB/T 7714 | Christiane Baumeister,James Hamilton. DP12911 Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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