Autoregressive vectors and the identification of monetary policy shocks in Argentina

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In this paper we use Vector Autoregressions for the estimation of themacroeconomic effects of monetary policy in Argentina during the 1980´s and 1990´s. Special attention is given to problems associated with theidentification of monetary policy shocks due to potential omitted variablesbias, for whic...

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Autor principal: Utrera, Gastón
Formato: Artículo revista
Lenguaje:Español
Publicado: Instituto de Economía y Finanzas. Facultad de Ciencias Económicas. Universidada Nacional de Córdoba. 2004
Materias:
vector autoregressions
monetary policy
monetary policy shocks
Argentina
vectores autoregresivos
política monetaria
shocks de política monetaria
Acceso en línea:https://revistas.unc.edu.ar/index.php/REyE/article/view/3809
Aporte de:
Revistas de la UNC de Universidad Nacional de Córdoba
id I10-R10article-3809
record_format ojs
institution Universidad Nacional de Córdoba
institution_str I-10
repository_str R-10
container_title_str Revistas de la UNC
language Español
format Artículo revista
topic vector autoregressions
monetary policy
monetary policy shocks
Argentina
vectores autoregresivos
política monetaria
shocks de política monetaria
Argentina
spellingShingle vector autoregressions
monetary policy
monetary policy shocks
Argentina
vectores autoregresivos
política monetaria
shocks de política monetaria
Argentina
Utrera, Gastón
Autoregressive vectors and the identification of monetary policy shocks in Argentina
topic_facet vector autoregressions
monetary policy
monetary policy shocks
Argentina
vectores autoregresivos
política monetaria
shocks de política monetaria
Argentina
author Utrera, Gastón
author_facet Utrera, Gastón
author_sort Utrera, Gastón
title Autoregressive vectors and the identification of monetary policy shocks in Argentina
title_short Autoregressive vectors and the identification of monetary policy shocks in Argentina
title_full Autoregressive vectors and the identification of monetary policy shocks in Argentina
title_fullStr Autoregressive vectors and the identification of monetary policy shocks in Argentina
title_full_unstemmed Autoregressive vectors and the identification of monetary policy shocks in Argentina
title_sort autoregressive vectors and the identification of monetary policy shocks in argentina
description In this paper we use Vector Autoregressions for the estimation of themacroeconomic effects of monetary policy in Argentina during the 1980´s and 1990´s. Special attention is given to problems associated with theidentification of monetary policy shocks due to potential omitted variablesbias, for which we propose a way to address this issue.Granger causality tests, impulse-response functions, variance decompositionsand simulated forecast errors show big structural differences between the1980's and 1990's. Nevertheless, there is evidence in both periods aboutpotential contractive effects of expansive monetary policies, in line withprevious results obtained using error correction models.
publisher Instituto de Economía y Finanzas. Facultad de Ciencias Económicas. Universidada Nacional de Córdoba.
publishDate 2004
url https://revistas.unc.edu.ar/index.php/REyE/article/view/3809
work_keys_str_mv AT utreragaston autoregressivevectorsandtheidentificationofmonetarypolicyshocksinargentina
AT utreragaston vectoresautoregresivoseidentificaciondeshocksdepoliticamonetariaenargentina
bdutipo_str Revistas
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