Identification of monetary policy shocks: a graphical causal approach

Autores

  • Alessio Moneta Universidade de Coimbra

DOI:

https://doi.org/10.14195/2183-203X_20_3

Resumo

This paper develops a structural VAR methodology based on graphical models to identify the monetary policy shocks and to measure their macroeconomic effects. The advantage of this procedure is to work with testable overidentifying models, whose restrictions are derived by the partial correlations among residuals plus some institutional knowledge. This permits to test some restrictions on the reserve market used in several approaches existing in the literature. The main findings are that neither VAR innovations to federal funds rate nor innovations to nonborrowed reserves are good indicators of monetary policy shocks.

Downloads

Não há dados estatísticos.

##submission.downloads##

Publicado

2016-09-23

Edição

Secção

Artigos