Do Measures of Monetary Policy in a VAR Make Sense?
Glenn Rudebusch
International Economic Review, 1998, vol. 39, issue 4, 907-31
Abstract:
No. In many vector autoregressions (VARs), monetary policy shocks are identified with the least squares residuals from a regression of the federal funds rate on an assortment of variables. Such regressions appear to be structurally fragile and are at odds with other evidence on the nature of the U.S. Federal Reserve's reaction function; furthermore, the residuals from these regressions show little correlation across various VARs or with funds rate shocks that are derived from forward-looking financial markets. The author's results provide a sharp critique of current monetary VARs. Copyright 1998 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (459)
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Related works:
Working Paper: Do measures of monetary policy in a VAR make sense? (1996)
Working Paper: Do Measures of Monetary Policy in a VAR Make Sense? (1996)
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:ier:iecrev:v:39:y:1998:i:4:p:907-31
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0020-6598
Access Statistics for this article
International Economic Review is currently edited by Harold L. Cole
More articles in International Economic Review from Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297. Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and ().