The systematic component of monetary policy in SVARs: An agnostic identification procedure

Jonas E. Arias, Dario Caldara and Juan F Rubio-Ramirez

Journal of Monetary Economics, 2019, vol. 101, issue C, 1-13

Abstract: This paper studies the effects of monetary policy shocks using structural VARs. We achieve identification by imposing sign and zero restrictions on the systematic component of monetary policy. Importantly, our identification scheme does not restrict the contemporaneous response of output to a monetary policy shock. Using data for the period 1965–2007, we consistently find that an increase in the federal funds rate induces a contraction in output. We also find that monetary policy shocks are contractionary during the Great Moderation. Finally, we show that the identification strategy in Uhlig (2005), which imposes sign restrictions on the impulse response functions to a monetary policy shock, does not satisfy our restrictions on the systematic component of monetary policy with high posterior probability.

Keywords: SVARs; Monetary policy shocks; Systematic component of monetary policy (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (128)

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Related works:
Working Paper: The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (2016)
Working Paper: The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (2015)
Working Paper: The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (2015)
Working Paper: The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:101:y:2019:i:c:p:1-13

DOI: 10.1016/j.jmoneco.2018.07.011

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