Evaluating Policy Counterfactuals: A VAR-Plus Approach

Tomás E. Caravello, Alisdair McKay and Christian Wolf

No 32988, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: In a rich family of linearized structural macroeconomic models, the counterfactual evolution of the macro-economy under alternative policy rules is pinned down by just two objects: first, reduced-form projections with respect to a large information set; and second, the dynamic causal effects of policy shocks. In particular, no assumptions about the structural shocks affecting the economy are needed. We propose to recover these two sufficient statistics using a ``VAR-Plus'' approach, and apply it to evaluate several monetary policy counterfactuals.

JEL-codes: E32 E58 E61 (search for similar items in EconPapers)
Date: 2024-09
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-mac
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