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dc.contributor.authorLANNE, Markku
dc.contributor.authorLUETKEPOHL, Helmut
dc.date.accessioned2008-06-05T08:38:31Z
dc.date.available2008-06-05T08:38:31Z
dc.date.issued2008
dc.identifier.issn1725-6704
dc.identifier.urihttp://hdl.handle.net/1814/8768
dc.description.abstractAbstract. Different identification schemes for monetary policy shocks have been proposed in the literature. They typically specify just-identifying re- strictions in a standard structural vector autoregressive (SVAR) framework. Thus, in this framework the different schemes cannot be checked against the data with statistical tests. We consider different approaches how to use the data properties to augment the standard SVAR setup for identifying the shocks. Thereby it becomes possible to test models which are just identified in a standard setting. For monthly US data it is found that a model where monetary shocks are induced via the federal funds rate is the only one which cannot be rejected when the data properties are used for identification.en
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherEuropean University Institute
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2008/23en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectMixed normal distributionen
dc.subjectstructural vector autoregressive modelen
dc.subjectvector autoregressive processen
dc.subjectC32en
dc.titleA Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocksen
dc.typeWorking Paperen
dc.neeo.contributorLANNE|Markku|aut|
dc.neeo.contributorLUETKEPOHL|Helmut|aut|EUI70007
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