We employ a non-recursive identification scheme to identify the effects of a monetary policy shock in a Structural Vector Autoregressive (SVARs) model for the U.S. post-WWII quarterly data. The identification of the shock is achieved via heteroskedasticity, and different on-impact macroeconomic responses are allowed for (but not imposed) in each volatility regime. We show that the impulse responses obtained with the suggested non-recursive identification scheme are quite similar to those conditional on a recursive VAR estimated with pre-1984 data. In contrast, recursive vs. non-recursive identification schemes return different short-run responses of output and investment during the Great Moderation. Robustness checks dealing with a different definition of investment, an alternative breakpoint, and federal funds futures rates as an indicator of the monetary policy stance are documented and discussed.
Gimme a Break! : identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S / E. Bacchiocchi, E. Castelnuovo, L. Fanelli. - In: MACROECONOMIC DYNAMICS. - ISSN 1469-8056. - (2017). [Epub ahead of print] [10.1017/S1365100516000833]
Gimme a Break! : identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S
E. Bacchiocchi;
2017
Abstract
We employ a non-recursive identification scheme to identify the effects of a monetary policy shock in a Structural Vector Autoregressive (SVARs) model for the U.S. post-WWII quarterly data. The identification of the shock is achieved via heteroskedasticity, and different on-impact macroeconomic responses are allowed for (but not imposed) in each volatility regime. We show that the impulse responses obtained with the suggested non-recursive identification scheme are quite similar to those conditional on a recursive VAR estimated with pre-1984 data. In contrast, recursive vs. non-recursive identification schemes return different short-run responses of output and investment during the Great Moderation. Robustness checks dealing with a different definition of investment, an alternative breakpoint, and federal funds futures rates as an indicator of the monetary policy stance are documented and discussed.File | Dimensione | Formato | |
---|---|---|---|
2017_Bacchiocchi_et_al_MacroDyn.pdf
accesso riservato
Tipologia:
Publisher's version/PDF
Dimensione
575.78 kB
Formato
Adobe PDF
|
575.78 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.