Identification and the narrative approach: A reply to Leeper

• 成果类型: Article
• 署名作者: Romer, CD; Romer, DH
• 署名单位: University of California System; University of California Berkeley
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(97)00052-4
• 发表日期: 1997
• 页码: 659-665
• 关键词: Monetary policy; Narrative approach

摘要

Contrary to the arguments of Leeper (1997), the problems that arise in VAR investigations of monetary policy do not arise with our use of the narrative approach. The apparent high predictability of our monetary-policy variable that Leeper finds is due to overfitting. And the estimated effects of our measure when variables other than output are considered are unsurprising given Leeper's specifications. (C) 1997 Elsevier Science B.V. All rights reserved.