Paper #420

Título:

Monetary policy misspecification in VAR models

Autores:

Fabio Canova y Joaquim Pires Pina

Data:

Octubre 1998

Resumen:

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.

Palabras clave:

General equilibrium, monetary policy, identification, structural VARs

Códigos JEL:

C32, C68, E32, E52

Área de investigación:

Macroeconomía y Economía Internacional

Publicado en:

Chapter in book ed. by Diebolt and Kritsou, Springer and Verlag, 2005
Con el título:
Advances in Macroeconomics

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