Do measures of monetary policy in a VAR make sense?
Glenn Rudebusch ()
No 96-05, Working Papers in Applied Economic Theory from Federal Reserve Bank of San Francisco
No. In many 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 Fed's reaction function; furthermore, the residuals from these regressions have little correlation with funds rate shocks that are derived from forward-looking financial markets.
Keywords: Vector autoregression; Monetary policy - United States (search for similar items in EconPapers)
Date: 1996, Revised 1996
References: Add references at CitEc
Citations: View citations in EconPapers (27) Track citations by RSS feed
Published in Monetary Policy: Measurement and Management : a conference (1996: March 1) ; International Economic Review (November 1998, v. 39 no. 4, p. 907-931
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Journal Article: Do Measures of Monetary Policy in a VAR Make Sense? (1998)
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)
Persistent link: https://EconPapers.repec.org/RePEc:fip:fedfap:96-05
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in Working Papers in Applied Economic Theory from Federal Reserve Bank of San Francisco Contact information at EDIRC.
Bibliographic data for series maintained by ().