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https://hdl.handle.net/10316.2/24946
Title: | Identification of monetary policy shocks: a graphical causal approach | Authors: | Moneta, Alessio | Issue Date: | 2004 | Publisher: | Faculdade de Economia da Universidade de Coimbra | Abstract: | Esse artigo desenvolve uma metodologia
VAR estrutural baseada em modelos
gráficos para identificar os choques de
política monetária e medir os seus efeitos
macroeconómicos. A vantagem desse
procedimento é trabalhar com modelos
sobre-identificados testáveis, cujas
restrições são derivadas das correlações
parciais entre os resíduos, adicionando-se
algum conhecimento institucional. Isso
permite testar algumas restrições sobre o
mercado de reservas usadas em várias
abordagens existentes na literatura. Os
principais resultados são que nem as
inovações VAR ligadas à federal funds
rate nem as ligadas às reservas não-
-emprestáveis (nonborrowed reserves)
são bons indicadores de choques de
política monetária. Cet article élabore une méthodologie des VAR structurels basée sur les modèles de graphes pour identifier les chocs de la politique monétaire et mesurer leurs effets macro-économiques. L'avantage de cette procédure est la possibilité d'utiliser des modèles suridentifiés dont les restrictions sont dérivées par des corrélations partielles des résidus, en plus des connaissances institutionnelles. Ceci permet de tester certaines restrictions relatives au marché des réserves qui ont été utilisées par de nombreuses approches dans la littérature. Les principaux résultats indiquent que ni les innovations VAR introduites sur le taux des fonds fédéraux ni celles introduites sur les réserves non empruntées (non-borrowed reserves) sont de bons indicateurs des chocs de la politique monétaire. 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. |
URI: | https://hdl.handle.net/10316.2/24946 | ISSN: | 2183-203X |
Appears in Collections: | Notas Económicas |
Files in This Item:
File | Description | Size | Format | |
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notaseconomicas20_artigo4.pdf | 3.14 MB | Adobe PDF |
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