Bacchiocchi, Emanuele
[Verfasser:in]
;
Castelnuovo, Efrem
[Sonstige Person, Familie und Körperschaft];
Fanelli, Luca
[Sonstige Person, Familie und Körperschaft]
Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S
Erschienen in:Melbourne Institute Working Paper ; No. 31/16
Umfang:
1 Online-Ressource (45 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2851316
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 12, 2016 erstellt
Beschreibung:
We employ a non-recursive identification scheme to identify the effects of a monetary policy shock in a Structural Vector Autoregressive (SVARs) model for the U.S. post-WWII quarterly data. The identification of the shock is achieved via heteroskedasticity, and different on-impact macroeconomic responses are allowed for (but not imposed) in each volatility regime. We show that the impulse responses obtained with the suggested non-recursive identification scheme are quite similar to those conditional on a recursive VAR estimated with pre-1984 data. In contrast, recursive vs. non-recursive identification schemes return different short-run responses of output and investment during the Great Moderation. Robustness checks dealing with a different definition of investment, an alternative breakpoint, and federal funds futures rates as an indicator of the monetary policy stance are documented and discussed