When multiple objectives meet multiple instruments: Identifying simultaneous monetary shocks

Daniel Ordoñez-Callamand, Juan Hernández-Leal () and Mauricio Villamizar-Villegas

International Review of Economics & Finance, 2018, vol. 58, issue C, 78-101

Abstract: Central bank intervention typically entails the use of multiple and possibly non-linear policies. In this paper we introduce a dynamic Tobit model embedded in a Vector Autoregression in order to identify simultaneous monetary shocks. Our method is easily estimated using only least squares and a maximum likelihood function. Also, impulse-responses are carried out as in the traditional time-series setting and can be applied in a structural framework. In simulation exercises we show that, as policy covariance grows, our method increasingly outperforms a benchmark case of estimating policy functions separately. We find significant differences when estimating our method in emerging market economies.

Keywords: Simultaneous policies; Instrumental VAR; Tobit-VAR; Monetary trilemma; C34E52E58 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1059056017308043
Full text for ScienceDirect subscribers only

Related works:
Working Paper: When Multiple Objectives Meet Multiple Instruments: Identifying Simultaneous Monetary Shocks (2017)
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:reveco:v:58:y:2018:i:c:p:78-101

DOI: 10.1016/j.iref.2018.03.001

Access Statistics for this article

International Review of Economics & Finance is currently edited by H. Beladi and C. Chen

More articles in International Review of Economics & Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().