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The identification of fiscal and monetary policy in a structural VAR
Citation
Dungey, M and Fry, R, The identification of fiscal and monetary policy in a structural VAR, Economic Modelling, 26, (6) pp. 1147-1160. ISSN 0264-9993 (2009) [Refereed Article]
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DOI: doi:10.1016/j.econmod.2009.05.001
Abstract
Good economic management depends on understanding shocks from monetary policy, fiscal policy and other
sources affecting the economy and their subsequent interactions. This paper presents a new methodology to
disentangle such shocks in a structural VAR framework. The method combines identification via sign
restrictions, cointegration and traditional exclusion restrictions within a system which explicitly models
stationary and non-stationary variables and accounts for both permanent and temporary shocks. The
usefulness of the approach is demonstrated on a small open economy where policy makers are actively
considering the interaction between monetary and fiscal policies.
Item Details
| Item Type: | Refereed Article |
|---|---|
| Keywords: | identification, fiscal policy, monetary policy, SVAR, permanent and transitory shocks, sign restrictions |
| Research Division: | Economics |
| Research Group: | Applied economics |
| Research Field: | Macroeconomics (incl. monetary and fiscal theory) |
| Objective Division: | Economic Framework |
| Objective Group: | Macroeconomics |
| Objective Field: | Fiscal policy |
| UTAS Author: | Dungey, M (Professor Mardi Dungey) |
| ID Code: | 62547 |
| Year Published: | 2009 |
| Web of Science® Times Cited: | 48 |
| Deposited By: | Economics and Finance |
| Deposited On: | 2010-03-12 |
| Last Modified: | 2015-01-12 |
| Downloads: | 6 View Download Statistics |
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