The systematic component of monetary policy in SVARs: An agnostic identification procedure

• 成果类型: Article
• 署名作者: Arias, Jonas E.; Caldara, Dario; Rubio-Ramirez, Juan F.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Philadelphia; Federal Reserve System - USA; Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.07.011
• 发表日期: 2019
• 页码: 1-13
• 关键词: SVARs; monetary policy shocks; Systematic component of monetary policy

摘要

This paper studies the effects of monetary policy shocks using structural VARs. We achieve identification by imposing sign and zero restrictions on the systematic component of monetary policy. Importantly, our identification scheme does not restrict the contemporaneous response of output to a monetary policy shock. Using data for the period 1965-2007, we consistently find that an increase in the federal funds rate induces a contraction in output. We also find that monetary policy shocks are contractionary during the Great Moderation. Finally, we show that the identification strategy in Uhlig (2005), which imposes sign restrictions on the impulse response functions to a monetary policy shock, does not satisfy our restrictions on the systematic component of monetary policy with high posterior probability. (C) 2018 Elsevier B.V. All rights reserved.