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

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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Year of publication:	2011-07
Authors:	Fragetta, Matteo ; Melina, Giovanni
Institutions:	School of Economics, University of Surrey
Subject:	Monetary policy \| SVAR \| Graphical modelling

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Extent:	application/pdf
Series:	School of Economics Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0811 16 pages
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009225982