Identification of Monetary Policy in SVAR Models: A Data-Oriented Perspective

Matteo Fragetta () and Giovanni Melina

No 811, School of Economics Discussion Papers from School of Economics, University of Surrey

Abstract: This paper applies graphical modelling theory to recover identifying restrictions for the analysis of monetary policy shocks in a VAR of the US economy. Results are in line with the view that only high-frequency data should be assumed to be in the information set of the monetary authority when the interest rate decision is taken.

Keywords: Monetary policy; SVAR; Graphical modelling (search for similar items in EconPapers)
JEL-codes: E43 E52 (search for similar items in EconPapers)
Pages: 16 pages
Date: 2011-07
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Journal Article: Identification of monetary policy in SVAR models: a data-oriented perspective (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:sur:surrec:0811

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