EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/25789
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorLanne, Markkuen_US
dc.contributor.authorLütkepohl, Helmuten_US
dc.date.accessioned2006-09-05en_US
dc.date.accessioned2009-07-28T08:12:09Z-
dc.date.available2009-07-28T08:12:09Z-
dc.date.issued2006en_US
dc.identifier.urihttp://hdl.handle.net/10419/25789-
dc.description.abstractA central issue of monetary policy analysis is the specification of monetary policy shocks. In a structural vector autoregressive setting there has been some controversy about which restrictions to use for identifying the shocks because standard theories do not provide enough information to fully identify monetary policy shocks. In fact, to compare different theories it would even be desirable to have over-identifying restrictions which would make statistical tests of different theories possible. It is pointed out that some progress towards overidentifying monetary policy shocks can be made by using specific data properties. In particular, it is shown that changes in the volatility of the shocks can be used for identification. Based on monthly US data from 1965-1996 different theories are tested and it is found that associating monetary policy shocks with shocks to nonborrowed reserves leads to a particularly strong rejection of the model whereas assuming that the Fed accommodates demand shocks to total reserves cannot be rejected.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper 1744en_US
dc.subject.jelC32en_US
dc.subject.ddc330en_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwSchocken_US
dc.subject.stwVolatilitäten_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwTheorieen_US
dc.subject.stwUSAen_US
dc.titleIdentifying monetary policy shocks via changes in volatilityen_US
dc.typeWorking Paperen_US
dc.identifier.ppn517004011en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

Files in This Item:
File Description SizeFormat
517004011.PDF349.29 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.