Arbeitspapier

A method to generate structural impulse-responses for measuring the effects of shocks in structural macro models

We develop a technique for analyzing the response dynamics of economic variables to structural shocks in linear rational expectations models. Our work differs fromstandard SVARs since we allow expectations of future variables to enter structural equations. We show how to estimate the variance-covariance matrix of fundamental and non-fundamental shocks and we construct point estimates and confidence bounds for impulse response functions. Our technique can handle both determinate and indeterminate equilibria. We provide an application to U.S. monetary policy under pre and post Volcker monetary policy rules.

Sprache
Englisch

Erschienen in
Series: ECB Working Paper ; No. 586

Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models; Multiple Variables: Other
Existence and Stability Conditions of Equilibrium
Exchange and Production Economies
Monetary Policy
Central Banks and Their Policies
Thema
Identification
indeterminacy
rational expectations models
Rationale Erwartung
VAR-Modell
Schock
Theorie

Ereignis
Geistige Schöpfung
(wer)
Beyer, Andreas
Farmer, Roger E. A.
Ereignis
Veröffentlichung
(wer)
European Central Bank (ECB)
(wo)
Frankfurt a. M.
(wann)
2006

Handle
Letzte Aktualisierung
10.03.2025, 11:43 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.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Beyer, Andreas
  • Farmer, Roger E. A.
  • European Central Bank (ECB)

Entstanden

  • 2006

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