Monetary Policy Misspecification in VAR Models

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Canova, Fabio; Pina, Joaquim Pires. Monetary Policy Misspecification in VAR Models. 2005
http://hdl.handle.net/10230/469

To cite or link this document: http://hdl.handle.net/10230/469

Title:	Monetary Policy Misspecification in VAR Models
Author:	Canova, Fabio; Pina, Joaquim Pires
Other authors:	Universitat Pompeu Fabra. Departament d'Economia i Empresa
Abstract:	We examine the effects of extracting monetary policy disturbances with semi-structural and structural VARs, using data generated by a limited participation model under partial accommodative and feedback rules. We find that, in general, misspecification is substantial: short run coefficients often have wrong signs; impulse responses and variance decompositions give misleading representations of the dynamics. Explanations for the results and suggestions for macroeconomic practice are provided.
Document type:	Working paper
Date:	2005
Rights:	Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/)