The analysis of forward-looking monetary policy in a SVAR framework

Peter Kugler (WWZ University of Basel and Swiss National Bank), Thomas J. Jordan (Swiss National Bank and University of Bern), Carlos Lenz (WWZ University of Basel), Marcel R. Savioz (Swiss National Bank and University of St. Gallen)

This paper analyzes forward-looking monetary policy rules in structural VAR's. First, an approach for modeling a monetary policy which aims at a strict medium term inflation or output growth target is developed. Second, the ex ante inflation-output-growth volatility trade-off for a forward-looking policy aiming at a convex combination these strategies is derived. Finally, an illustration of our approach using Swiss data is given.

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Year of publication:	March 2005 ; Revised
Authors:	Kugler, Peter ; Jordan, Thomas ; Lenz, Carlos ; Savioz, Marcel
Publisher:	[Basel] : [Wirtschaftswissenschaftliches Zentrum (WWZ) der Universität Basel]
Subject:	Structural VAR \| forward-looking monetary policy \| efficiency frontier \| Geldpolitik \| Monetary policy \| VAR-Modell \| VAR model \| Theorie \| Theory \| Schock \| Shock \| Geldpolitische Transmission \| Monetary transmission