Arias, Jonas
[VerfasserIn]
;
Caldara, Dario
[Sonstige Person, Familie und Körperschaft];
Rubio-Ramirez, Juan Francisco
[Sonstige Person, Familie und Körperschaft]
The Systematic Component of Monetary Policy in SVARs
Erschienen in:FRB International Finance Discussion Paper ; No. 1131
Umfang:
1 Online-Ressource (44 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2598244
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 13, 2015 erstellt
Beschreibung:
Following Leeper, Sims, and Zha (1996), we identify monetary policy shocks in SVARs by restricting the systematic component of monetary policy. In particular, we impose sign and zero restrictions only on the monetary policy equation. Since we do not restrict the response of output to a monetary policy shock, we are agnostic in Uhlig's (2005) sense. But, in contrast to Uhlig (2005), our results support the conventional view that a monetary policy shock leads to a decline in output. Hence, our results show that the contractionary effects of monetary policy shocks do not hinge on questionable exclusion restrictions