The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure

Jonas E. Arias, Dario Caldara and Juan F Rubio-Ramirez
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Jonas E. Arias: https://www.philadelphiafed.org/our-people/jonas-arias

No 1131, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: Following Leeper, Sims, and Zha (1996), we identify monetary policy shocks in SVARs by restricting the systematic component of monetary policy. In particular, we impose sign and zero restrictions only on the monetary policy equation. Since we do not restrict the response of output to a monetary policy shock, we are agnostic in Uhlig's (2005) sense. But, in contrast to Uhlig (2005), our results support the conventional view that a monetary policy shock leads to a decline in output. Hence, our results show that the contractionary effects of monetary policy shocks do not hinge on questionable exclusion restrictions.

Keywords: SVARs; Monetary policy shocks; Systematic component of monetary policy (search for similar items in EconPapers)
JEL-codes: C51 E52 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2015-03-12
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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http://www.federalreserve.gov/econresdata/ifdp/2015/files/ifdp1131.pdf Full text (application/pdf)
http://dx.doi.org/10.17016/IFDP.2015.1131 http://dx.doi.org/10.17016/IFDP.2015.1131 (application/pdf)

Related works:
Journal Article: The systematic component of monetary policy in SVARs: An agnostic identification procedure (2019)
Working Paper: The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (2016)
Working Paper: The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (2015)
Working Paper: The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (2014)
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