VAR meets DSGE : uncovering the monetary transmission mechanism in low-income countries
by Bin Grace Li, Stephen O’Connell, Christopher Adam, Andrew Berg, and Peter Montiel
VAR methods suggest that the monetary transmission mechanism may be weak and unreliable in low-income countries (LICs). But are structural VARs identified via short-run restrictions capable of detecting a transmission mechanism when one exists, under research conditions typical of these countries? Using small DSGEs as data-generating processes, we assess the impact on VAR-based inference of short data samples, measurement error, high-frequency supply shocks, and other features of the LIC environment. The impact of these features on finite-sample bias appears to be relatively modest when identification is valid-a strong caveat, especially in LICs. However, many of these features undermine the precision of estimated impulse responses to monetary policy shocks, and cumulatively they suggest that 'insignificant' results can be expected even when the underlying transmission mechanism is strong
Year of publication: |
April 2016
|
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Authors: | Li, Bin ; O'Connell, Stephen A. ; Adam, Christopher S. ; Berg, Andrew ; Montiel, Peter |
Publisher: |
[Washington, D.C.] : International Monetary Fund |
Subject: | Geldpolitische Transmission | Monetary transmission | Geldpolitik | Monetary policy | VAR-Modell | VAR model | Monte-Carlo-Simulation | Monte Carlo simulation | DSGE-Modell | DSGE model | Entwicklungsländer | Developing countries |
Saved in:
freely available
Extent: | 1 Online-Ressource (circa 46 Seiten) Illustrationen |
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Series: | IMF working papers. - Washington, DC : IMF, ZDB-ID 2108494-4. - Vol. WP/16, 90 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
ISBN: | 978-1-4843-2475-2 |
Other identifiers: | 10.5089/9781484324752.001 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011705702
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