EconPapers    
Economics at your fingertips  
 

Monetary policy misspecification in VAR models

Fabio Canova () and Joaquim Pina

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: We examine the effects of extracting monetary policy disturbances with semi-structural and structural VARs, using data generated by a limited participation model under partial accommodative and feedback rules. We find that, in general, misspecification is substantial: short run coefficients often have wrong signs; impulse responses and variance decompositions give misleading representations of the dynamics. Explanations for the results and suggestions for macroeconomic practice are provided.

Keywords: General equilibrium; monetary policy; identification; structural VARs (search for similar items in EconPapers)
JEL-codes: C32 C68 E32 E52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mon
Date: 1998-10, Revised 1999-09
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (71) Track citations by RSS feed

Downloads: (external link)
https://econ-papers.upf.edu/papers/420.pdf Whole Paper (application/pdf)

Related works:
Working Paper: Monetary Policy Misspecification in VAR Models (1999) Downloads
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:upf:upfgen:420

Access Statistics for this paper

More papers in Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
Bibliographic data for series maintained by ().

 
Page updated 2019-08-18
Handle: RePEc:upf:upfgen:420