Vector Autoregressions

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Timing Assumptions• ‘Extreme’ Assumption:– Output Does Not Respond Instantly to PolicyShock– Policy Responds Instantly to Output• Could Make a Continuum of AlternativeAssumptions: Is Our Choice Arbitrary?Fact: Innovations in Output and Interest• Fact: Innovations in Output and InterestRate are Positively Correlated
Page 1 and 2: Brief Review of VARsLawrence J. Chr
Page 3: Outline of SVAR discussion• What
Page 15 and 16: Identifying Monetary Policy Shocks
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 38 and 39: Timing Assumptions…• Identifica
Page 41: Observations on Neutral Shock• Ge
Page 44 and 45: Dark line: detrended actualGDPThin
Page 46 and 47: Monetary policy shocks have abig im
Page 48: Variance DecompositionVariableBP(8,
Page 52 and 53: Fiscal Shocks…• Key empirical i
Page 55 and 56: • Evidence consistent with neocla
Page 57 and 58: • Fiscal policy shocks- Example o

Vector Autoregressions

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