Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations

Christiane Baumeister and James D. Hamilton

Journal of Monetary Economics, 2018, vol. 100, issue C, 48-65

Abstract: Point estimates and error bands for SVARs that are set identified are only justified if the researcher is persuaded that some parameter values are a priori more plausible than others. When such prior information exists, traditional approaches can be generalized to allow for doubts about the identifying assumptions. We use information about both structural coefficients and impacts of shocks and propose a new asymmetric t-distribution for incorporating information about signs in a nondogmatic way. We apply these methods to a three-variable macroeconomic model and conclude that monetary policy shocks are not the major driver of output, inflation, or interest rates.

Keywords: Structural vector autoregressions; Set identification; Monetary policy; Impulse-response functions; Historical decompositions; Model uncertainty; Informative priors (search for similar items in EconPapers)
JEL-codes: C11 C32 E52 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (87)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304393218300758
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Inference in Structural Vector Autoregressions when the Identifying Assumptions are not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations (2018)
Working Paper: Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-evaluating the Role of Monetary Policy in Economic Fluctuations (2018)
Working Paper: Inference in structural vector auto regressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations (2018)
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: https://EconPapers.repec.org/RePEc:eee:moneco:v:100:y:2018:i:c:p:48-65

DOI: 10.1016/j.jmoneco.2018.06.005

Access Statistics for this article

Journal of Monetary Economics is currently edited by R. G. King and C. I. Plosser

More articles in Journal of Monetary Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().