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
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Objekttyp
- Arbeitspapier
Beteiligte
- Beyer, Andreas
- Farmer, Roger E. A.
- European Central Bank (ECB)
Entstanden
- 2006