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The identification of fiscal and monetary policy in a structural VAR
journal contribution
posted on 2023-05-17, 02:07 authored by Dungey, M, Fry, RGood 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.
History
Publication title
Economic ModellingVolume
26Issue
6Pagination
1147-1160ISSN
0264-9993Department/School
TSBEPublisher
Elsevier Science BvPlace of publication
Po Box 211, Amsterdam, Netherlands, 1000 AeRights statement
The definitive version is available at http://www.sciencedirect.comRepository Status
- Restricted