Paper #420
- Títol:
- Monetary policy misspecification in VAR models
- Autors:
- Fabio Canova i Joaquim Pires Pina
- Data:
- Octubre 1998
- Resum:
- We examine the effects of extracting monetary policy disturbances with semi-structural and structural VARs, using data generated by a limited participation model under partial accommodative and feedback rules. We find that, in general, misspecification is substantial: short run coefficients often have wrong signs; impulse responses and variance decompositions give misleading representations of the dynamics. Explanations for the results and suggestions for macroeconomic practice are provided.
- Paraules clau:
- General equilibrium, monetary policy, identification, structural VARs
- Codis JEL:
- C32, C68, E32, E52
- Àrea de Recerca:
- Macroeconomia i Economia Internacional
- Publicat a:
- Chapter in book ed. by Diebolt and Kritsou, Springer and Verlag, 2005
Amb el títol:
Advances in Macroeconomics
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