Macroeconomic responses to an independent monetary policy shock : a (more) agnostic identification procedure

Marco Capasso, Alessio Moneta

This study investigates the effects of a monetary policy shock on real output and prices, by means of a novel distribution-free nonrecursive identification scheme for structural vector autoregressions. Structural shocks are assumed to be mutually independent. The identification procedure is agnostic in Uhlig [2005]'s sense, since the response of output to a monetary shock is not restricted. Moreover, assuming mutual independence of the shocks allows us to impose no additional constraints derived from economic theory.

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Year of publication:	[2016]
Authors:	Capasso, Marco ; Moneta, Alessio
Publisher:	Pisa, Italy : LEM, Laboratory of Economics and Management, Institute of Economics, Scuola Superiore Sant'Anna
Subject:	Structural Models \| Vector Autoregressions \| Independent Component Analysis \| Identification \| Monetary Policy \| Schätzung \| Estimation \| Geldpolitik \| Monetary policy \| VAR-Modell \| VAR model \| Schock \| Shock \| Wirkungsanalyse \| Impact assessment

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Extent:	1 Online-Ressource (circa 28 Seiten) Illustrationen
Series:	LEM working paper series. - Pisa : [Verlag nicht ermittelbar], ISSN 2284-0400, ZDB-ID 2436330-3. - Vol. 2016, 36 (October 2016)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Other identifiers:	hdl:10419/174545 [Handle]
Classification:	C14 - Semiparametric and Nonparametric Methods ; c18 ; c38 ; C51 - Model Construction and Estimation ; E52 - Monetary Policy (Targets, Instruments, and Effects)
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011554080