Macroeconomic responses to an independent monetary policy shock : a (more) agnostic identification procedure

Marco Capasso, Alessio Moneta

This study investigates the effects of a monetary policy shock on real output and prices, by means of a novel distribution-free nonrecursive identification scheme for structural vector autoregressions. Structural shocks are assumed to be mutually independent. The identification procedure is agnostic in Uhlig [2005]'s sense, since the response of output to a monetary shock is not restricted. Moreover, assuming mutual independence of the shocks allows us to impose no additional constraints derived from economic theory.

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Year of publication:	[2016]
Authors:	Capasso, Marco ; Moneta, Alessio
Publisher:	Pisa, Italy : LEM, Laboratory of Economics and Management, Institute of Economics, Scuola Superiore Sant'Anna
Subject:	Structural Models \| Vector Autoregressions \| Independent Component Analysis \| Identification \| Monetary Policy \| Geldpolitik \| Monetary policy \| VAR-Modell \| VAR model \| Schock \| Shock \| Wirkungsanalyse \| Impact assessment \| Schätzung \| Estimation