Estimating the effects of monetary policy shocks: does lag structure matter?

Keuk-Soo Kim and W. McMillin ()

Applied Economics, 2003, vol. 35, issue 13, 1515-1526

Abstract: This paper examines the implications of lag structure for estimating the effects of monetary policy shocks in a VAR. A symmetric lag structure in which all variables have the same lag length and an asymmetric lag structure in which the lag length differs across variables but is the same for a particular variable in each equation of the model are examined. This is important in light of the fact that the true lag structure is generally not known. Four commonly used identification schemes are employed to identify monetary policy shocks. Monte Carlo simulations strongly indicate that the lag structure of a VAR model does matter when assessing the quantitative effects of monetary policy shocks. Given the inherent uncertainty about the true lag structure in practice, it is thus important that one compare the impulse response functions from both symmetric lag and asymmetric lag VARs in assessing the effects of monetary policy shocks.

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/0003684032000090663 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Estimating the Effects of Monetary Policy Shocks: Does Lag Structure Matter? (2002)
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:taf:applec:v:35:y:2003:i:13:p:1515-1526

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/0003684032000090663

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().