The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure
Juan F Rubio-Ramirez (),
Dario Caldara () and
Additional contact information
Jonas Arias: Federal Reserve Board
No 359, 2015 Meeting Papers from Society for Economic Dynamics
Following Leeper, Sims, and Zha (1996), we identify monetary policy shocks in SVARs by restricting the systematic component of monetary policy. In particular, we impose sign and zero restrictions only on the monetary policy equation. Since we do not restrict the response of output to a monetary policy shock, we are agnostic in Uhlig's (2005) sense. But, in contrast to Uhlig (2005), our results support the conventional view that a monetary policy shock leads to a decline in output. Hence, our results show that the contractionary effects of monetary policy shocks do not hinge on questionable exclusion restrictions.
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
Journal Article: The systematic component of monetary policy in SVARs: An agnostic identification procedure (2019)
Working Paper: The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (2017)
Working Paper: The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (2015)
Working Paper: The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (2014)
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:red:sed015:359
Access Statistics for this paper
More papers in 2015 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().