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• W3122889966 abstract "This paper evaluates VAR models designed to analyse the monetary policy transmission mechanism in the United States by considering three issues: specification, identification, and the effect of the omission of the long-term interest rate. Specification analysis suggests that only VAR models estimated on a single monetary regime feature parameters stability and do not show signs of mis-specification. The identification analysis shows that VAR-based monetary policy shocks and policy disturbances identified from alternative sources are not highly correlated but yield similar descriptions of the monetary transmission mechanism. Lastly, the inclusion of the long-term interest rate in a benchmark VAR delivers a more precise estimation of the structural parameters capturing behaviour in the market for reserves and shows that contemporaneous fluctuations in long-term interest rates are an important determinant of the monetary authority's reaction function." @default.
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• W3122889966 date "1998-06-01" @default.
• W3122889966 modified "2023-09-25" @default.
• W3122889966 title "Measuring monetary policy with VAR models: An evaluation" @default.
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• W3122889966 doi "https://doi.org/10.1016/s0014-2921(98)00005-1" @default.
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