Title of article
Monetarypolicyshocks,Choleskiidentification,andDNKmodels
Author/Authors
CharlesT.Carlstrom، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
8
From page
1014
To page
1021
Abstract
A popularidentifyingassumptioninstructuralVARstudiesisthatthemonetarypolicy
shock doesnotaffectmacroeconomicvariablescontemporaneously.Weexaminethe
consequencesofusingthisidentificationstrategywhenthedata-generatingprocessisa
basicDynamicNewKeynesian(DNK)modelbutwithouttheseassumedtimedelays.
The principleconclusionisthatthestandardCholeskiassumptioncanseverelydistort
theimpulseresponsefunctions,producingpricepuzzlesandmutedresponsesof
inflationandtheoutputgaptomonetaryshocks
Keywords
Choleski identificationVector autoregressionDynamic newkeynesianmodel
Journal title
Journal of Monetary Economics
Serial Year
2008
Journal title
Journal of Monetary Economics
Record number
846349
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