A note on potential one-way policy instruments in cointegrated VAR systems

Takamitsu Kurita

Economic Analysis and Policy, 2018, vol. 58, issue C, 55-59

Abstract: This note introduces the concept of potential one-way policy instruments in a cointegrated vector autoregressive (VAR) system in a manner validating super and strong exogeneity. Monte Carlo experiments are conducted to verify arguments for a policy-oriented interpretation of the system’s impact-matrix. This study provides useful insight into simulation exercises for macroeconomic policy.

Keywords: Super and strong exogeneity; Cointegrated vector autoregressive models; Control theory; Policy instruments (search for similar items in EconPapers)
JEL-codes: C32 C52 C54 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecanpo:v:58:y:2018:i:c:p:55-59

DOI: 10.1016/j.eap.2017.12.004

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