Monetary Policy and Identification in SVAR Models: A Data Oriented Perspective

Matteo Fragetta ()

MPRA Paper from University Library of Munich, Germany

Abstract: There is an ongoing debate on how to identify monetary policy shocks in SVAR models. Graphical modelling exploits statistical properties of data for identification and offers a data based tool to shed light on the issue. The information set of the monetary authorities, which is essential for the identification of the monetary shock seems to depend on availability of data in terms of higher frequency with respect to the policy instrument.

Keywords: Monetary Policy; SVAR; Graphical Modelling (search for similar items in EconPapers)
JEL-codes: C32 E50 (search for similar items in EconPapers)
Date: 2010-01
New Economics Papers: this item is included in nep-ecm and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:20616

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