The Econometrics of Monetary Policy: an Overview
Carlo Favero ()
No 329, Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
This chapter concentrates on the Econometrics of Monetary Policy. We describe the evolution of models estimated to evaluate the macroeconomic impact of the effect of monetary policy . We argue that the main challenge for the econometrics of monetary policy is the combination of theoretical models and information from the data to construct empirical models. The failure of the large econometrics models at the beginning of the 1970s might be explained by their incapability of taking proper account of both these aspects. The great critiques by Lucas and Sims have generated an alternative approach which, at least initially, has been almost entirely dominated by theory. The LSE approach has instead concentrated on the properties of the statistical models and on the best way of incorporating information from the data into the empirical models, paying little attention to the economic foundation of the adopted specification. The realization that the solution of a DSGE model can be approximated by a restricted VAR, which is also a statistical model, has generated a potential link between the two approaches. The open question is which type of VARs are most appropriate for the econometric analysis of monetary policy.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 500 Failed to connect to FTP server ftp.igier.uni-bocconi.it: No such host is known.
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:igi:igierp:329
Ordering information: This working paper can be ordered from
Access Statistics for this paper
More papers in Working Papers from IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University via Rontgen, 1 - 20136 Milano (Italy).
Bibliographic data for series maintained by ().