Measuring the Effects of Real and Monetary Shocks in a Structural New-Keynesian Model

Andreas Beyer () and Roger E. A. Farmer ()

No 172, Computing in Economics and Finance 2005 from Society for Computational Economics

Abstract: We develop a technique for analyzing the dynamics of shocks in structural linear rational expectations models. Our work differs from standard SVARs since we allow expectations of future variables to enter structural equations. We show how to estimate the variance-covariance matrix of fundamental and non-fundamental shocks and we construct point estimates and confidence bounds for impulse response functions. Our technique can handle both determinate and indeterminate equilibria. We provide an application to U.S. monetary policy under pre and post Volcker monetary policy rules

Keywords: Identification; indeterminacy; rational expectations models. (search for similar items in EconPapers)
JEL-codes: C39 C62 D51 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-mon
Date: 2005-11-11
View list of references

Downloads: (external link)
http://repec.org/sce2005/up.6582.1106934087.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: http://EconPapers.repec.org/RePEc:sce:scecf5:172

Access Statistics for this paper

More papers in Computing in Economics and Finance 2005 from Society for Computational Economics
Contact information at EDIRC.
Series data maintained by Christopher F. Baum ().