Does Money Matter for the Identification of Monetary Policy Shocks: A DSGE Perspective

Céline Poilly ()

No 2007-23, THEMA Working Papers from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

Abstract: This paper investigates how the identification assumptions of monetary policy shocks modify the inference in a standard DSGE model. Considering SVAR models in which either the interest rate is predetermined for money or these two monetary variables are simultaneously determined, two DSGE models are estimated by Minimum Distance Estimation. We emphasize that real balance effects are necessary to replicate the high persistence implied by the simultaneity assumption. In addition, the estimated monetary policy rule is strongly sensitive to the identification scheme. This suggests that the way to introduce money in the identification scheme is not neutral for estimation of DSGE models.

Keywords: SVAR model; DSGE model; Non recursive identification; Money. (search for similar items in EconPapers)
JEL-codes: C52 E41 E52 (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac and nep-mon
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Does money matter for the identification of monetary policy shocks: A DSGE perspective (2010)
Working Paper: Does money matter for the identification of monetary policy shocks: A DSGE perspective (2010)
Working Paper: Does Money Matter for the Identification of Monetary Policy Shocks: A DSGE Perspective (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ema:worpap:2007-23

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