Arias, Jonas E.; Caldara, Dario; Rubio-Ramirez, Juan F. - Federal Reserve Board (Board of Governors of the … - 2015
Following Leeper, Sims, and Zha (1996), we identify monetary policy shocks in SVARs by restricting the systematic … component of monetary policy. In particular, we impose sign and zero restrictions only on the monetary policy equation. Since we … do not restrict the response of output to a monetary policy shock, we are agnostic in Uhlig's (2005) sense. But, in …