VAR-líkan Seðlabankans

The Central Bank has published papers about the transmission of monetary policy in Iceland, based on a VAR model, estimated by quarterly values from 2009 to 2022. Dependent variables are the GDP, consumer price index, exchange rate and the policy interest rate. Lagged values by one quarter and foreign interest rate are dependent variables. The estimated model has not been published but strong conclusions presented about the consequences of changes in policy rate on production and inflation. Here is an investigation whether the variables, data and VAR model justifies the presented results. They are not supported.