VAR ANALYSIS OF MONETARY POLICY IN THE POST-CONVERTIBILITY: A NON-RECURSIVE APPROACH

Mariano Beltrani ()
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Mariano Beltrani: Universidad de Buenos Aires

Revista de Economía Política de Buenos Aires, 2020, issue 20, 9-39

Abstract: In this paper we study the effects of monetary policy in Argentina during post-convertibility using the VAR methodology under a non-recursive scheme, in order to adapt the structural model to the features of small and open economies such as Argentina. The results show that this identification strategy is effective in eliminating the so-called puzzles of monetary policy. In particular, this approach allows the effects of monetary shocks on the price level and the interest rate to be consistent with economic theory.

Keywords: monetary policy shocks; exchange rate; structural VAR; emerging economies (search for similar items in EconPapers)
JEL-codes: C32 E52 F31 F42 (search for similar items in EconPapers)
Date: 2020
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