Does Money Matter for the Identification of Monetary Policy Shocks: A DSGE Perspective

Céline Poilly ()

Working papers from Banque de France

Abstract: This paper investigates how the identification assumptions of monetary policy shocks modify the inference in a standard DSGE model. Considering SVAR models in which either the interest rate is predetermined for money or these two monetary variables are simultaneously determined, two DSGE models are estimated by Minimum Distance Estimation. We emphasize that real balance effects are necessary to replicate the high persistence implied by the simultaneity assumption. In addition, the estimated monetary policy rule is strongly sensitive to the identification scheme. This suggests that the way money is introduced in the identification scheme is not neutral for the estimation of DSGE models.

Keywords: SVAR model; DSGE model; Non recursive identification; Money. (search for similar items in EconPapers)
JEL-codes: C52 E41 E52 (search for similar items in EconPapers)
Pages: 42 pages
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://publications.banque-france.fr/sites/defaul ... g-paper_184_2007.pdf (application/pdf)

Related works:
Journal Article: Does money matter for the identification of monetary policy shocks: A DSGE perspective (2010)
Working Paper: Does money matter for the identification of monetary policy shocks: A DSGE perspective (2010)
Working Paper: Does Money Matter for the Identification of Monetary Policy Shocks: A DSGE Perspective (2007)
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:bfr:banfra:184

Access Statistics for this paper

More papers in Working papers from Banque de France Banque de France 31 Rue Croix des Petits Champs LABOLOG - 49-1404 75049 PARIS. Contact information at EDIRC.
Bibliographic data for series maintained by Michael brassart ().