The robustness of identified VAR conclusions about money

Jon Faust ()

No 610, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper presents a new way to assess robustness of claims from identified VAR work. All possible identifications are checked for the one that is worst for the claim, subject to the restriction that the VAR produce reasonable impulse responses to shocks. The statistic on which the claim is based need not be identified; thus, one can assess claims in large models using minimal restrictions. The technique reveals only weak support for the claim that monetary policy shocks contribute a small portion of the forecast error variance of postwar U.S. output in standard 6-variable and 13-variable models.

Keywords: Monetary policy; Money; Econometric models (search for similar items in EconPapers)
Date: 1998
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (255)

Downloads: (external link)
http://www.federalreserve.gov/pubs/ifdp/1998/610/default.htm (text/html)
http://www.federalreserve.gov/pubs/ifdp/1998/610/ifdp610.pdf (application/pdf)

Related works:
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:fip:fedgif:610

Access Statistics for this paper

More papers in International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ; Keisha Fournillier ().