The systematic component of monetary policy in SVARs: An agnostic identification procedure
By Jonas E. Arias, Dario Caldara, Juan F. Rubio-Ramirez. Journal of Monetary Economics, 2015
178 citations recorded by the source corpus.
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.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/4cdd84845bd847e83a9876a4981f90a75d25d7e0
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Citations in the corpus
- Narrative Sign Restrictions for SVARs (2018, unknown): “(2010) and Arias et al. (2016b) need to be modified for the case of narrative sign restrictions.”
- Delta-method inference for a class of set-identified SVARs (2018, background): “…suggesting this clarification. the contemporaneous coefficient of the i-th variable in the j-th structural equation: e′i(B′)−1ej = e′iΣ−1Bj ≥ or = 0, as in Rubio-Ramirez, Caldara, and Arias (2015). d) Elasticity bounds as in Kilian and Murphy (2012); for example, for some b ∈ R : e′iBj/e ′ i′Bj ≥…”