Do Measures of Monetary Policy in a VAR Make Sense
Do Measures of Monetary Policy in a VAR Make Sense
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VAR 中的货币政策措施有意义吗
DOI：
10.2307/2527344
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发表时间：
1998
影响因子：
1.5
通讯作者：
Glenn D. Rudebusch
中科院分区：
文献类型：
--
作者：
Glenn D. Rudebusch
不，在许多VAR中，货币政策冲击是用联邦基金利率对各种变量的回归的最小二乘残差来确定的。这样的回归似乎是结构脆弱的，并与其他证据的性质，美联储的反应功能不一致，此外，从这些回归的残差几乎没有相关性，来自前瞻性的金融市场的基金利率冲击。
No. In many VARs, monetary policy shocks are identified with the least squares residuals from a regression of the federal funds rate on an assortment of variables. Such regressions appear to be structurally fragile and are at odds with other evidence on the nature of the Fed's reaction function; furthermore, the residuals from these regressions have little correlation with funds rate shocks that are derived from forward-looking financial markets.