Arbeitspapier
How robust are SVARs at measuring monetary policy in small open economies?
We study the ability of exclusion and sign restrictions to measure monetary policy shocks in small open economies. Our Monte Carlo experiments show that sign restrictions systematically overshoot inflation responses to the said shock, so we propose to add prior information to limit the number of economically implausible responses. This modified procedure robustly recovers the transmission of the shock, whereas exclusion restrictions show large sensitivity to the assumed monetary transmission mechanism of the model and the set of foreign variables included in the VAR. An application with Mexican data supports our findings.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 2015-18
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Monetary Policy
- Thema
-
Exclusion Restrictions
Sign Restrictions
Small Open Economy
Monetary Policy Shock
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Carrillo, Julio A.
Elizondo, Rocio
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Carrillo, Julio A.
- Elizondo, Rocio
- Banco de México
Entstanden
- 2015
Ähnliche Objekte (12)
Does monetary policy in advanced economies have differentiated effects on portfolio flows to emerging economies?
Regular infinite economies
Optimal robust monetary policy in a small open economy
Measuring the cost of U.S. housing policy
Equivalence between input-output and value-added economies
The number of equilibria of smooth infinite economies
Estimating capital flows to emerging market economies with heterogeneous panels
The equilibrium set of economies with a continuous consumption space
How relevant are capital flows for house prices in emerging economies?
On the drivers of inflation in different monetary regimes
The limits to robust monetary policy in a small open economy with learning agents
Price-setting in Mexico and the real effects of monetary shocks
Does monetary policy in advanced economies have differentiated effects on portfolio flows to emerging economies?
Regular infinite economies
Optimal robust monetary policy in a small open economy
Measuring the cost of U.S. housing policy
Equivalence between input-output and value-added economies
The number of equilibria of smooth infinite economies
Estimating capital flows to emerging market economies with heterogeneous panels
The equilibrium set of economies with a continuous consumption space
How relevant are capital flows for house prices in emerging economies?
On the drivers of inflation in different monetary regimes
The limits to robust monetary policy in a small open economy with learning agents
Price-setting in Mexico and the real effects of monetary shocks
Does monetary policy in advanced economies have differentiated effects on portfolio flows to emerging economies?
Regular infinite economies
Optimal robust monetary policy in a small open economy
Measuring the cost of U.S. housing policy
Equivalence between input-output and value-added economies
The number of equilibria of smooth infinite economies
Estimating capital flows to emerging market economies with heterogeneous panels
The equilibrium set of economies with a continuous consumption space
How relevant are capital flows for house prices in emerging economies?
On the drivers of inflation in different monetary regimes
The limits to robust monetary policy in a small open economy with learning agents