Nominal Rigidities and The Real Effects of Monetary Policy in a Structural VAR Model

Pham The Anh ()
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Pham The Anh: Department of Economics, National Economics University, Vietnam

No 6, Working Papers from Development and Policies Research Center (DEPOCEN), Vietnam

Abstract: The paper proposes an empirical VAR for the UK open economy in order to measure the effects of monetary policy shocks from 1981 to 2003. The identification of the VAR structure is based on short-run restrictions that are consistent with the general implications of a New Keynesian model. The identification scheme used in the paper is successful in identifying monetary policy shocks and solving the puzzles and anomalies regarding the effects of monetary policy shocks. The estimated dynamic impulse responses and the forecast error variance decompositions show a consistency with the New Keynesian approach and other available theories.

Keywords: Structural VAR; Nominal Rigidities; Monetary Policy Shocks; New Keynesian Theory (search for similar items in EconPapers)
JEL-codes: C30 E30 E32 E52 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2007-06
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:dpc:wpaper:0607

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