Identifying Monetary Policy Shocks via Changes in Volatility
作者： MARKKU LANNE , HELMUT LÜTKEPOHL
DOI: 10.1111/J.1538-4616.2008.00151.X
关键词:
摘要: A central issue of monetary policy analysis is the speciflcation shocks. In a structural vector autoregressive setting there has been some controversy about which restrictions to use for identifying shocks because standard theories do not provide enough information fully identify fact, compare difierent it would even be desirable have over-identifying make statistical tests possible. It pointed out that progress towards can made by using speciflc data properties. particular, shown changes in volatility used identiflcation. Based on monthly US from 1965-1996 are tested and found as- sociating with nonborrowed reserves leads particularly strong rejection model whereas assuming Fed accommodates demand total cannot rejected.
core.ac.uk
questia.com
jstor.org 参考文章(20)
Lawrence J. Christiano, Martin Eichenbaum, Charles L. Evans, Chapter 2 Monetary policy shocks: What have we learned and to what end? Handbook of Macroeconomics. ,vol. 1, pp. 65- 148 ,(1999) , 10.1016/S1574-0048(99)01005-8
Lawrence Christiano, Martin Eichenbaum, Identification and the Liquidity Effect of a Monetary Policy Shock Social Science Research Network. pp. 335- 370 ,(1991) , 10.3386/W3920
Carlo Giannini, Gianni Amisano, Topics in structural VAR econometrics ,(1992)
Thomas F. Cosimano, Richard G. Sheehan, The federal reserve operating procedure, 1984–1990: An empirical analysis Journal of Macroeconomics. ,vol. 16, pp. 573- 588 ,(1994) , 10.1016/0164-0704(94)90001-9
Arthur Lewbel, Using Heteroskedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models Journal of Business & Economic Statistics. ,vol. 30, pp. 67- 80 ,(2012) , 10.1080/07350015.2012.643126
Roberto Rigobon, Identification Through Heteroskedasticity The Review of Economics and Statistics. ,vol. 85, pp. 777- 792 ,(2003) , 10.1162/003465303772815727
Steven Strongin, The identification of monetary policy disturbances explaining the liquidity puzzle Journal of Monetary Economics. ,vol. 35, pp. 463- 497 ,(1995) , 10.1016/0304-3932(95)01197-V
Alexander Benkwitz, Helmut Lütkepohl, Jürgen Wolters, Comparison of bootstrap confidence intervals for impulse responses of German monetary systems Macroeconomic Dynamics. ,vol. 5, pp. 81- 100 ,(2001) , 10.1017/S1365100501018041
Bertrand Candelon, Helmut Lütkepohl, On the reliability of Chow-type tests for parameter constancy in multivariate dynamic models Economics Letters. ,vol. 73, pp. 155- 160 ,(2001) , 10.1016/S0165-1765(01)00478-5
Lawrence J. Christiano, Charles L. Evans, Martin S. Eichenbaum, Monetary Policy Shocks: What Have We Learned and to What End? Research Papers in Economics. pp. 65- 148 ,(1997)