Measuring the Effects of a Shock to Monetary Policy - Humboldt ...

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Bayesian FAVARs with Agnostic Identification 47 Mesh of Impulse Responses of selected variables, for five factors sorted in ascending order. Here one might conclude from the meshs how uncertain the responses are as they are given for each of the accepted draws. The wider the area in the center part the less volatile the impulse responses are over the draws. Such pictures serve the possibility to get an impression how certain the responses are with respect to the error bands.
48 Bayesian FAVARs with Agnostic Identification Mesh of Impulse Responses of selected variables, for two factors sorted in ascending order. It is also worth to have look at the money aggregates that show a negative reaction for the whole 48 periods. Altogether the results improved where more factors were considered, in so far that the responses have more supportive error bands. Furthermore the results improved when I increased the number of variables on which sign-restrictions were imposed. But one should note that it is computationally cumbersome to receive the results with more restrictions. The more variables are imposed with sign restrictions the less can be accepted that satisfy them. I conclude that this mirros the difficulty to identify the shock in a quantitativly precise manner. Therefore the critique on the Gibbs sampling approach by BBE [2005] seem not to be valid. The structure imposed is not appears not to be the restriction when combined with the alternative identification scheme.
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Measuring the Effects of a Shock to Monetary Policy - Humboldt ...

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