Monetary shocks in the G-6 countries: Is there a puzzle?

• 成果类型: Article
• 署名作者: Fung, BSC; Kasumovich, M
• 署名单位: Bank of Canada
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(98)00035-X
• 发表日期: 1998
• 页码: 575-592
• 关键词: Monetary policy shocks; Money demand; VaR; G-6 countries

摘要

In this paper, a simple identification technique is used to study the effects of monetary shocks in VAR models for the G-6 countries. Monetary shocks are identified by long-run cointegration restrictions and the assumption of long-run money neutrality. The short-run dynamics corresponding to a monetary shock are consistent with the predictions of monetary theory and can be interpreted as a monetary policy shock. The results suggest that the stock of money has an active role in the transmission mechanism. (C) 1998 Elsevier Science B.V. All rights reserved.