Macroeconomic responses to an independent monetary policy shock: a (more) agnostic identification procedure

Marco Capasso and Alessio Moneta

LEM Papers Series from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy

Abstract: This study investigates the effects of a monetary policy shock on real output and prices, by means of a novel distribution-free nonrecursive identification scheme for structural vector autoregressions. Structural shocks are assumed to be mutually independent. The identification procedure is agnostic in Uhlig[2005]'s sense, since the response of output to a monetary shock is not restricted. Moreover, assuming mutual independence of the shocks allows us to impose no additional constraints derived from economic theory.

Keywords: Structural Models; Vector Autoregressions; Independent Component Analysis; Identification; Monetary Policy (search for similar items in EconPapers)
Date: 2016
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 (11)

Downloads: (external link)
http://www.lem.sssup.it/WPLem/files/2016-36.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ssa:lemwps:2016/36

Access Statistics for this paper

More papers in LEM Papers Series from Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy Contact information at EDIRC.
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).