Inference in structural vector autoregressions when the identifying assumptions are not fully believed: Re-evaluating the role of monetary policy in economic fluctuations

• 成果类型: Article
• 署名作者: Baumeister, Christiane; Hamilton, James D.
• 署名单位: University of Notre Dame; University of California System; University of California San Diego
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2018.06.005
• 发表日期: 2018
• 页码: 48-65
• 关键词: structural vector autoregressions; Set identification; monetary policy; Impulse-response functions; Historical decompositions; model uncertainty; Informative priors

摘要

Point estimates and error bands for SVARs that are set identified are only justified if the researcher is persuaded that some parameter values are a priori more plausible than others. When such prior information exists, traditional approaches can be generalized to allow for doubts about the identifying assumptions. We use information about both structural coefficients and impacts of shocks and propose a new asymmetric t-distribution for incorporating information about signs in a nondogmatic way. We apply these methods to a three-variable macroeconomic model and conclude that monetary policy shocks are not the major driver of output, inflation, or interest rates. (C) 2018 Elsevier B.V. All rights reserved.