This study investigates the effects of a monetary policy shock on real output and prices, by means of a novel distribution-free nonrecursive identification scheme for structural vector autoregressions. Structural shocks are assumed to be mutually independent. The identification procedure is agnostic in Uhlig [2005]’s sense, since the response of output to a monetary shock is not restricted. Moreover, assuming mutual independence of the shocks allows us to impose no additional constraints derived from economic theory.

Macroeconomic responses to an independent monetary policy shock: a (more) agnostic identification procedure

CAPASSO, Marco;Alessio Moneta
2016-01-01

Abstract

This study investigates the effects of a monetary policy shock on real output and prices, by means of a novel distribution-free nonrecursive identification scheme for structural vector autoregressions. Structural shocks are assumed to be mutually independent. The identification procedure is agnostic in Uhlig [2005]’s sense, since the response of output to a monetary shock is not restricted. Moreover, assuming mutual independence of the shocks allows us to impose no additional constraints derived from economic theory.
2016
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11382/521367
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