Jääskelä, Jarkko P.; Jennings, David - In: Journal of International Money and Finance 30 (2011) 7, pp. 1358-1374
This paper examines the ability of vector autoregressive (VAR) models to properly identify the transmission of monetary policy in a controlled experiment. Simulating data from a small open economy DSGE model estimated for Australia, we find that sign-restricted VAR models do reasonably well at...