Evaluating Policy Counterfactuals : A VAR-Plus Approach

Tomás E. Caravello, Alisdair McKay, Christian K. Wolf

In a rich family of linearized structural macroeconomic models, the counterfactual evolution of the macro-economy under alternative policy rules is pinned down by just two objects: first, reduced-form projections with respect to a large information set; and second, the dynamic causal effects of policy shocks. In particular, no assumptions about the structural shocks affecting the economy are needed. We propose to recover these two sufficient statistics using a ``VAR-Plus'' approach, and apply it to evaluate several monetary policy counterfactuals

MoreLess

Year of publication:	September 2024
Authors:	Caravello, Tomás E. ; McKay, Alisdair ; Wolf, Christian
Institutions:	National Bureau of Economic Research (issuing body)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Konjunktur \| Business cycle \| Geldpolitik \| Monetary policy \| Schock \| Shock \| Strukturmodell \| Structural model \| VAR-Modell \| VAR model \| Makroökonomisches Modell \| Macroeconomic model