2016/36 | LEM Working Paper Series | ||||||||||||||||
Macroeconomic responses to an independent monetary policy shock: a (more) agnostic identification procedure |
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Marco Capasso and Alessio Moneta |
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Keywords | |||||||||||||||||
Structural Models, Vector Autoregressions, Independent Component
Analysis, Identification, Monetary Policy
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JEL Classifications | |||||||||||||||||
C14,C18,C38,C51,E52
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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.
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