Monetary policy shocks, Choleski identification, and DNK models

• 成果类型: Article
• 署名作者: Carlstrom, Charles T.; Fuerst, Timothy S.; Paustian, Matthias
• 署名单位: University System of Ohio; Bowling Green State University; Federal Reserve System - USA; Federal Reserve Bank - Cleveland; Bank of England
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.09.009
• 发表日期: 2009
• 页码: 1014-1021
• 关键词: Choleski identification; Vector auto regression; Dynamic New Keynesian model

摘要

A popular identifying assumption in structural VAR studies is that the monetary policy shock does not affect macroeconomic variables contemporaneously. We examine the consequences of using this identification strategy when the data-generating process is a basic Dynamic New Keynesian (DNK) model but without these assumed time delays. The principle conclusion is that the standard Choleski assumption can severely distort the impulse response functions, producing price puzzles and muted responses of inflation and the output gap to monetary shocks. (C) 2009 Elsevier B.V. All rights reserved.