Vector Autoregressions

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What does this rule represent?• Literal interpretation: structural policy rule ofcentral bank.• Combination of structural rule and other “stuff”• Example: Clarida – Gertler– True policy ruleRR t E t X t1 e t fall time t data used in E Rt X t1 e t
What is a Monetary Policy Shock?• Shocks to preferences of monetary authority• Strategic considerations can lead to exogenousvariation in policy– Self-fulfilling expectation traps (Albanesi, Chari,Christiano)• Technical factors like measurement error(Bernanke and Mihov)
Page 1 and 2: Brief Review of VARsLawrence J. Chr
Page 3: Outline of SVAR discussion• What
Page 15: Identifying Monetary Policy Shocks
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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