Date: 2008
Type: Working Paper
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks
Working Paper, EUI ECO, 2008/23
LANNE, Markku, LUETKEPOHL, Helmut, A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks, EUI ECO, 2008/23 - https://hdl.handle.net/1814/8768
Retrieved from Cadmus, EUI Research Repository
Abstract. 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.
Cadmus permanent link: https://hdl.handle.net/1814/8768
ISSN: 1725-6704
Series/Number: EUI ECO; 2008/23
Publisher: European University Institute