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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
Author:Dungey, M (Professor Mardi Dungey)
ID Code:62547
Year Published:2009
Web of Science® Times Cited:21
Deposited By:Economics and Finance
Deposited On:2010-03-12
Last Modified:2015-01-12
Downloads:6 View Download Statistics

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