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A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks
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1725-6704
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EUI ECO; 2008/23
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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
Abstract
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.