Identification of monetary policy in SVAR models: a data-oriented perspective

Abstract

This is the unspecified version of the paper.This version of the publication may differ from the final published version. Permanent AbstractIn the literature using short-run timing restrictions to identify monetary policy shocks in vector-autoregressions (VAR) there is a debate on whether (i) contemporaneous real activity and prices or (ii) only data typically observed with high frequency should be assumed to be in the information set of the central bank when the interest rate decision is taken. This paper applies graphical modelling theory, a data-based tool, in a small-scale VAR of the US economy to shed light on this issue. Results corroborate the second type of assumption.

Graphical Interpretations of Rank Conditions for Identification of Linear Gaussian Models

“…The probabilistic graphical approach has a lot of successful applications in the computer science, medicine and biology (Koller (2009); Pearl ( 2009)), and it gains popularity in econometrics (see Ahelegbey et al, 2014;Bryant and Bessler, 2011;Demiralp et al, 2014;Fragetta and Melina, 2013;Hoover, 2005;Kwon and Bessler, 2011;Oxley et al, 2009;Phiromswad, 2014;Reale and Wilson, 2001;Richardson and Spirtes, 1999;Wilson and Reale, 2008, and many others). However, the literature on graphical models and the econometric literature on identification use different languages to represent the results: the literature on graphical model usually formulates the theorems in terms of causal diagrams (Brito and Pearl (2002b); Tian (2005); Chen and Pearl (2014)), and the econometric literature represents the results in terms of matrix algebra (for example, see Greene, 2012;Rubio-Ramírez et al, 2010;Christiano et al, 1999).…”

Identification of Monetary Policy Shocks within a SVAR Using Restrictions Consistent with a DSGE Model

“… See Ahelegbey et al (2014);Kwon and Bessler (2011);Bryant and Bessler (2015);Demiralp et al (2014);Hoover (2005);Oxley et al (2009); Phiromswad (2014);Reale and Wilson (2001);Wilson and Reale (2008);Fragetta and Melina (2013).…”