 Systematic monetary policy in a SVAR for AustraliaLance A. Fisher and Hyeon-seung Huh Economic Modelling, 2023, vol. 128, issue C Abstract: Sign restrictions on the coefficients in the structural equation for the policy interest rate and a normalization requirement identify this equation as the monetary policy equation and its shock as the monetary policy shock in a partial SVAR for conventional monetary policy in Australia. We use a recently developed sign restrictions algorithm and extend it to account for estimation uncertainty in the reduced-form VAR. Many of the accepted responses display puzzles. The maximum and minimum target responses are obtained as each corresponds to a single monetary policy equation. Both show that prices and output fall, and the unemployment rate rises, following a contractionary monetary policy shock. The minimum target response shows a slight exchange rate puzzle. These results are compared to those from a traditional sign restrictions algorithm and with other studies. The target responses imply plausible ranges for the coefficients in the monetary policy equation. Keywords: Monetary policy shocks; Structural equations; Coefficient sign restrictions; Puzzles (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003310 DOI: 10.1016/j.econmod.2023.106519 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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