Monetary Policy and Identification in SVAR Models: A Data Oriented Perspective

There is an ongoing debate on how to identify monetary policy shocks in SVAR models. Graphical modelling exploits statistical properties of data for identification and offers a data based tool to shed light on the issue. The information set of the monetary authorities, which is essential for the identification of the monetary shock seems to depend on availability of data in terms of higher frequency with respect to the policy instrument.

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Year of publication:	2010-01
Authors:	Fragetta, Matteo
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Monetary Policy \| SVAR \| Graphical Modelling

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C32 - Time-Series Models ; E50 - Monetary Policy, Central Banking and the Supply of Money and Credit. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008636490