Identification of Monetary Policy Shocks within a Svar Using Restrictions Consistent with a DSGE Model

Nikolay Arefiev

HSE Working papers from National Research University Higher School of Economics

Abstract: I identify and estimate the monetary policy rule and the monetary policy shocks within a structural vector autoregression model for the US economy. I make two contributions to the literature. First, for identi cation I propose to use restrictions consistent with the literature on dynamic stochastic general equilibrium (DSGE) models. Typical DSGE model produces more restrictions than is required for the identi cation, so overidentifying restrictions can be tested against the data. The second contribution is a new method of testing the overidentifying restrictions. This method divides the set of identifying restrictions into subsets, and tests each subset independently of the others. This method does not reject most restrictions produced by the DSGE model. The only rejections provide evidence that the Federal Reserve uses delayed information about the in ation in policy making. The proposed approach to identi cation helps explain and solve the price puzzle problem reported in the previous literature.

Keywords: graphical identi cation; sparse SVAR; price puzzle. (search for similar items in EconPapers)
JEL-codes: C30 E52 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2016
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
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Published in WP BRP Series: Economics / EC, February 2016, pages 1-21

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Persistent link: https://EconPapers.repec.org/RePEc:hig:wpaper:125/ec/2016

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