Alternative Indicator of Monetary Policy Stance for Macedonia

Arbeitspapier

This paper applies a SVAR model which combines different monetary policy instruments to construct an alternative indicator of monetary policy stance in Macedonia. It employs the approach introduced by Bernanke and Mihov (1998) of isolating monetary policy shocks from the whole set of monetary policy instruments that otherwise react to real developments. The residuals from such VAR are cleaned from the central bank's reaction function and represent true monetary policy innovations. Furthermore, we solve the interdependence among different monetary policy instruments contained in the residuals by developing a structural model. We use the model to extract unanticipated policy stance, as an alternative view on the monetary policy.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. [2015-01]

Classification and Topics

• Classification: Wirtschaft ; Monetary Policy, Central Banking, and the Supply of Money and Credit: General ; Monetary Policy
• Subject: SVAR ; Monetary policy stance ; Monetary framework

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Petrovska, Magdalena ; Georgievska, Ljupka
• Event: Veröffentlichung
• (who): National Bank of the Republic of Macedonia
• (where): Skopje
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/173710
• Last update: 10.03.2025, 11:44 AM CET