Monetary Policy and Identification in SVAR Models: A Data Oriented Perspective

Fragetta, Matteo (2010): Monetary Policy and Identification in SVAR Models: A Data Oriented Perspective.

Abstract

There is an ongoing debate on how to identify monetary policy shocks in SVAR models. Graphical modelling exploits statistical properties of data for identification and offers a data based tool to shed light on the issue. The information set of the monetary authorities, which is essential for the identification of the monetary shock seems to depend on availability of data in terms of higher frequency with respect to the policy instrument.

• Item Type: MPRA Paper
• Language: English
• Keywords: Monetary Policy; SVAR; Graphical Modelling
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E50 - General

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