Does money matter for the identification of monetary policy shocks: A DSGE perspective

Céline Poilly ()

Post-Print from HAL

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 money and the interest rate are simultaneously determined, two DSGE models are estimated by Minimum Distance Estimation. The estimation results reveal that real balance effects are necessary to replicate the high persistence implied by the simultaneity assumption. In addition, the estimated monetary policy rule is 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)
Date: 2010-09-17
Note: View the original document on HAL open archive server: https://hal.science/hal-00732759
References: Add references at CitEc
Citations: View citations in EconPapers (15)

Published in Journal of Economic Dynamics and Control, 2010, 34 (10), pp.2159. ⟨10.1016/j.jedc.2010.05.019⟩

Downloads: (external link)
https://hal.science/hal-00732759/document (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 (2007)
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:hal:journl:hal-00732759

DOI: 10.1016/j.jedc.2010.05.019

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().