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The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure

Juan F Rubio-Ramirez (), Dario Caldara () and Jonas Arias
Additional contact information
Jonas Arias: Federal Reserve Board

No 359, 2015 Meeting Papers from Society for Economic Dynamics

Abstract: 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
Date: 2015
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Related works:
Journal Article: The systematic component of monetary policy in SVARs: An agnostic identification procedure (2019) Downloads
Working Paper: The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (2017) Downloads
Working Paper: The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (2015) Downloads
Working Paper: The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (2014) Downloads
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