Estimating the Effects of Monetary Policy in Australia Using Sign‐restricted Structural Vector Autoregressions

Matthew Read

The Economic Record, 2023, vol. 99, issue 326, 329-358

Abstract: I estimate the effects of Australian monetary policy using a structural vector autoregression identified using a variety of sign restrictions and a prior‐robust approach to Bayesian inference. Some identifying restrictions are not particularly informative. However, combining the restrictions allows us to draw useful inferences. The estimates suggest that an increase in the cash rate lowers output and consumer prices at horizons beyond a year or so. The results are consistent with the output response to a 100 basis point increase in the cash rate lying towards the upper end of the range of existing estimates.

Date: 2023
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https://doi.org/10.1111/1475-4932.12749

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Working Paper: Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions (2022)
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