The Effects of Monetary Policy Shocks: Comparing Contemporaneous versus Long‐Run Identifying Restrictions

W. McMillin ()

Southern Economic Journal, 2001, vol. 67, issue 3, 618-636

Abstract: This study compares the effects of monetary policy shocks on the macroeconomy using four different procedures for identifying policy shocks that use contemporaneous restrictions and a procedure that uses long‐run restrictions. Impulse response functions are computed using the same vector autoregressive (VAR) model and sample period. The comparison is done for a model that includes only a short‐term interest rate and for a model that adds a long‐term rate as well. Sources of differences in the magnitude of effects across identification schemes are examined.

Date: 2001
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https://doi.org/10.1002/j.2325-8012.2001.tb00359.x

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Persistent link: https://EconPapers.repec.org/RePEc:wly:soecon:v:67:y:2001:i:3:p:618-636

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