Monetary policy shocks, Choleski identification, and DNK models

Carlstrom, Charles T.; Fuerst, Timothy S.; Paustian, Matthias

doi:10.1016/j.jmoneco.2009.09.009

Cited by 77 publications

(88 citation statements)

References 12 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…However, Rabanal (2007) and Castelnuovo (2012) argue that it is unlikely that the cost channel dominates the demand channel after a monetary policy shock in a New Keynesian framework. Further Carlstrom et al (2009) show that standard Choleski assumptions may severely distort the impulse response function and produce a price puzzle, even though this is not the case in the data generating process. The price puzzle may therefore suggest that the Choleski identification assumptions are unable to identify a pure monetary policy shock.…”

Section: The Impulse Responsesmentioning

confidence: 99%

House prices, credit and the effect of monetary policy in Norway: evidence from structural VAR models

Robstad¹

2017

Empir Econ

View full text Add to dashboard Cite

Section: The Impulse Responsesmentioning

confidence: 99%

House prices, credit and the effect of monetary policy in Norway: evidence from structural VAR models

Robstad¹

2017

Empir Econ

View full text Add to dashboard Cite

“…Similar frameworks have successfully been employed in recent empirical analysis to describe features of the U.S. business cycle (see, among others, Clarida, GalÌ, and Gertler (2000), Lubik and Schorfheide (2004), Boivin and Giannoni (2006), and Benati and Surico (2009)) or to interpret some VAR-related puzzles (Carlstrom, Fuerst, and Paustian (2009)). We estimate a version of the Ravenna and Walsh (2006) model by minimizing the distance between the impulse response functions (IRFs) implied by the New-Keynesian model and the IRFs estimated with our non-recursive SVAR-WB.…”

Section: Introductionmentioning

confidence: 99%

Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S.

2016

View full text Add to dashboard Cite

We employ a novel identiÖcation scheme to quantify the macroeconomic e §ects of monetary policy shocks in the United States. The identiÖcation of the shocks is achieved by exploiting the instabilities in the contemporaneous coe¢cients of the structural VAR (SVAR) and in the covariance matrix of the reduced-form residuals. Di §erent volatility regimes can be associated with di §erent transmission mechanisms of the identiÖed structural shocks. We formally test and reject the stability of our impulse responses estimated with post-WWII U.S. data by working with a break in macroeconomic volatilities occurred in the mid-1980s. We show that the impulse responses obtained with our non-recursive identiÖca-tion scheme are quite similar to those conditional on a standard Cholesky-SVARs estimated with pre-1984 data. In contrast, recursive vs. non-recursive identiÖca-tion schemes return substantially di §erent macroeconomic reactions conditional on Great Moderation data, in particular as for ináation and a long-term interest rate. Using our non-recursive SVARs as auxiliary models to estimate a small-scale new-Keynesian model of the business cycle with an impulse response function matching approach, we show that the instabilities in the estimated VAR impulse responses are informative as for the calibration of some key-structural parameters.

show abstract

“…Besides being intuitively reasonable, these sign restrictions are also supported by New-Keynesian DSGE models under a wide set of parameter calibrations (Carlstrom, Fuerst, and Paustian, 2009). Note, that the original formulation by Uhlig (2005) requires the impulse responses of "prices" in general to be non-positive.…”

Section: Monetary Policy Shocks and Asset Pricesmentioning

confidence: 77%

Monetary Policy Shocks, Set-identifying Restrictions, and Asset Prices: A Benchmarking Approach for Analyzing Set-identified Models

Uhrin

Herwartz

2016

SSRN Journal

View full text Add to dashboard Cite

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may MONETARY POLICY SHOCKS, SET-IDENTIFYING RESTRICTIONS, AND ASSET PRICES: A BRENCHMARKING APPROACH FOR ANALYZING SET-IDENTIFIED MODELS AbstractA central question for monetary policy is how asset prices respond to a monetary policy shock. We provide evidence on this issue by augmenting a monetary SVAR for US data with an asset price index, using set-identifying structural restrictions. The impulse responses show a positive asset price response to a contractionary monetary policy shock. The resulting monetary policy shocks correlate weakly with the Romer and Romer (2004) (RR) shocks, which matters greatly when analyzing impulse responses. Considering only models with shocks highly correlated with the RR series uncovers a negative, but near-zero response of asset prices.JEL Classification: C32, E44, E52

show abstract

Monetary policy shocks, Choleski identification, and DNK models

Cited by 77 publications

References 12 publications

House prices, credit and the effect of monetary policy in Norway: evidence from structural VAR models

House prices, credit and the effect of monetary policy in Norway: evidence from structural VAR models

Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S.

Monetary Policy Shocks, Set-identifying Restrictions, and Asset Prices: A Benchmarking Approach for Analyzing Set-identified Models

Contact Info

Product

Resources

About