Title of article :
Monetarypolicyshocks,Choleskiidentification,andDNKmodels
Author/Authors :
CharlesT.Carlstrom، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2008
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
Journal title :
Journal of Monetary Economics
