Normandin, Michel; Phaneuf, Louis - Centre Interuniversitaire sur le Risque, les Politiques … - 2003
We propose an empirical procedure, which exploits the conditional heteroscedasticity of fundamental disturbances, to test the targeting and orthogonality restrictions imposed in the recent VAR literature to identify monetary policy shocks. Based on U.S. monthly data for the post-1982 period, we...