Monetary policy misspecification in VAR models
Fabio Canova () and
Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra
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)
Working Paper: Monetary Policy Misspecification in VAR Models (1999)
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: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 ().