Vector Autoregressions

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Shocks and IdentificationAssumptions• Monetary Policy Shock• Neutral Technology Shock• Capital-Embodied Shock to Technology
Identifying Monetary Policy Shocks• One strategy: estimate parameters of Fed’sfeedback rule– Rule that relates Fed’s actions to state of theeconomy.R t = f(Ω t ) + e tR– f is a linear functionΩ t : set of variables that Fed looks at.– e R t : time t policy shock
Page 1 and 2: Brief Review of VARsLawrence J. Chr
Page 3: Outline of SVAR discussion• What
Page 17 and 18: What is a Monetary Policy Shock?•
Page 22 and 23: Long Run Identification of Technolo
Page 24 and 25: Identification• When monetary pol
Page 27: • We will now estimate impulse re
Page 36: Timing Assumptions• ‘Extreme’
Page 39: Result of Allowing Output toRespond
Page 43 and 44: Historical Decomposition of Data•
Page 45 and 46: Type of technology shock that affec
Page 47 and 48: All three shocks together account f
Page 51 and 52: Fiscal Shocks• SVAR analysis of d
Page 53: Burnside, Eichenbaum and Fisher•
Page 56 and 57:
Fiscal Theory• Equation depicting
Page 58:
Conclusions of VAR discussion• We
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Vector Autoregressions

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