Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82387
Authors: 
Jacobson, Tor
Jansson, Per
Vredin, Anders
Warne, Anders
Year of Publication: 
2002
Series/Report no.: 
Sveriges Riksbank Working Paper Series 134
Abstract: 
This paper presents estimates of the effects of monetary policy shocks on the Swedish economy. A theoretical model of an open economy is used to identify a structural VAR model. The empirical results from the identified VAR model are compared with two less structural approaches for identification of monetary policy shocks. The first assumes that shocks can be measured as deviations from a forward looking interest rate rule, estimated using Sveriges Riksbank's (Swedish central bank) own forecasts. The second approach focuses on the effects of narrative monetary policy shocks as given by devaluations of the Swedish currency. We find that plausible theoretical restrictions often result in price puzzles. Although conventional results obtain with certain theoretical restrictions imposed on the VAR, another way to achieve this is by using external information about large policy shocks. Thus, we find that the effects of some devaluations are consistent with the conventional wisdom about the effects of monetary policy shock.
Subjects: 
Common trends
devaluations
identification
inflation
monetary policy shocks
open economy
structural vector autoregression
JEL: 
C32
E31
E52
Document Type: 
Working Paper

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