Systematic Monetary Policy in a SVAR for Australia

Lance A. Fisher and Hyeon-seung Huh
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Lance A. Fisher: Macquarie University
Hyeon-seung Huh: Yonsei Univ

No 2022rwp-194, Working papers from Yonsei University, Yonsei Economics Research Institute

Abstract: A SVAR is estimated over the period of conventional monetary policy in Australia. The monetary policy shock is identified by imposing sign restrictions on the coefficients in the structural equation for the cash rate. There is very high posterior probability on structural models which imply a fall in output and prices, in response to a contractionary monetary policy shock, though the posterior probability of a price puzzle is somewhat higher than for other puzzles. The posterior median estimate of the systematic response of the cash rate to inflation increases noticeably when a price puzzle is ruled out.

Keywords: monetary policy shocks; structural equations; puzzles; identified set of responses (search for similar items in EconPapers)
JEL-codes: C30 C51 E52 (search for similar items in EconPapers)
Pages: 24pages
Date: 2022-05
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 (2)

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Persistent link: https://EconPapers.repec.org/RePEc:yon:wpaper:2022rwp-194

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