What are the effects of monetary policy on output? Results from an agnostic identification procedure

Journal of Monetary Economics - Tập 52 Số 2 - Trang 381-419 - 2005
Harald Uhlig1
1Department of Economics, Humboldt University, Spandauer Str. 1, 10178 Berlin, Germany

Tóm tắt

Từ khóa


Tài liệu tham khảo

Altig, D., Christiano, L.J., Eichenbaum, M., Linde, J., 2002. Technology shocks and aggregate fluctuations. Draft, Northwestern University.

Bagliano, 1998, Measuring monetary policy with VAR models, European Economic Review, 42, 1069, 10.1016/S0014-2921(98)00005-1

Berkowitz, 2000, Recent developments in bootstrapping time series, Econometric Reviews, 19, 1, 10.1080/07474930008800457

Bernanke, B.S., 1986. Alternative explanations of the money–income correlation. In: Brunner, K., Meltzer, A. (Eds.), Real Business Cycles, Real Exchange Rates, and Actual Policies. Carnegie-Rochester Conference Series on Public Policy, vol. 25. North-Holland, Amsterdam.

Bernanke, B.S., 1996. Discussion of ‘What does monetary policy do?’. In: Leeper, E.M., Sims, C.A., Zha, T. (Eds.), Brookings Papers on Economic Activity Series, vol. 2, pp. 69–73.

Bernanke, 1992, The federal funds rate and the channels of monetary transmission, American Economic Review, 82, 901

Bernanke, 1998, Measuring monetary policy, Quarterly Journal of Economics, 113, 869, 10.1162/003355398555775

Bernanke, 1998, The liquidity effect and long-run neutrality, Carnegie-Rochester Conference Series on Public Policy, 49, 149, 10.1016/S0167-2231(99)00007-X

Bernanke, 1997, Systematic monetary policy and the effects of oil price shocks, Brookings Papers on Economic Activity, 1, 91, 10.2307/2534702

Blanchard, 1989, The dynamic effects of aggregate demand and supply disturbances, American Economic Review, 79, 655

Blanchard, 1986, Are all business cycles alike?, 123

Canova, F., 1995. VAR: specification, estimation, testing and forecasting. In: Pesaran, H., Wickens, M. (Eds)., Handbook of Applied Econometrics, pp. 31–65.

Canova, 2002, Monetary disturbances matter for business fluctuations in the G-7, Journal of Monetary Economics, 49, 1131, 10.1016/S0304-3932(02)00145-9

Canova, F., Pina, J., 1999. Monetary policy misspecification in VAR models. CEPR Discussion Paper No. 2333.

Christiano, 1992, Liquidity effects and the monetary transmission mechanism, American Economic Review, 82, 346

Christiano, 1992, Identification and the liquidity effect of a monetary policy shock

Christiano, 1996, The effects of monetary policy shocks, Review of Economics and Statistics, 78, 16, 10.2307/2109845

Christiano, 1997, Sticky price and limited participation models of money, European Economic Review, 41, 1201, 10.1016/S0014-2921(97)00071-8

Christiano, 1999, Monetary policy shocks, 65, 10.1016/S1574-0048(99)01005-8

Cochrane, 1994, Shocks, vol. 41, 295

Del Negro, M., Schorfheide, F., 2003. Priors from general equilibrium models for VARs. Draft, Department of Economics, University of Pennsylvania.

Doan, T.A., 1992. RATS User's Manual, Version 4. Estima, 1800 Sherman Avenue, Suite 612, Evanston, IL 60201.

Doan, 1984, Forecasting and conditional projection using realistic prior distributions, Econometric Reviews, 3, 1, 10.1080/07474938408800053

Dwyer, M., 1997. Dynamic response priors for discriminating structural vector autoregressions. Draft, UCLA.

Eichenbaum, 1992, Comments on ‘Interpreting the macroeconomic time series facts, European Economic Review, 36, 1001, 10.1016/0014-2921(92)90042-U

Faust, 1998, The robustness of identified VAR conclusions about money, Carnegie-Rochester Conference Series in Public Policy, 49, 207, 10.1016/S0167-2231(99)00009-3

Gali, J., 1992. How well does the IS-LM model fit postwar US data?. Quarterly Journal of Economics, 709–738.

Gambetti, 1999, The real effects of monetary policy, Rivista di Politica Economica, 89, 149

Gordon, 1994, The dynamic impacts of monetary policy, Journal of Political Economy, 102, 1228, 10.1086/261969

Kadiyala, 1997, Numerical methods for estimation and inference in Bayesian VAR-models, Journal of Applied-Econometrics, 12, 99, 10.1002/(SICI)1099-1255(199703)12:2<99::AID-JAE429>3.0.CO;2-A

Kilian, 1998, Small-sample confidence intervals for impulse response functions, Review of Economics and Statistics, 80, 218, 10.1162/003465398557465

Kilian, 1998, Impulse response intervals under departures from normality, Econometric Reviews, 17, 1, 10.1080/07474939808800401

Kim, 1999, Does monetary policy matter in the G-7 countries? Using common identifying assumptions about monetary policy across countries, Journal of International Economics, 48, 387, 10.1016/S0022-1996(98)00052-X

Leamer, 1983, Let's take the con out of Econometrics, American Economic Review, 73, 31

Leeper, 1992, In search of the liquidity effect, Journal of Monetary Economics, 29, 341, 10.1016/0304-3932(92)90031-V

Leeper, 1994, Toward a modern macro model usable for policy analysis, 81

Leeper, 1996, What does monetary policy do?, Brookings Papers on Economic Activity Series, 2, 1, 10.2307/2534619

Lippi, 1994, Diffusion of technical change and the decomposition of output into trend and cycle, Review of Economic Studies, 61, 19, 10.2307/2297874

Lippi, 1994, Common and uncommon trends and cycles, European Economic Review, 38, 624, 10.1016/0014-2921(94)90098-1

Mittnik, 1993, Asymptotic distributions of impulse responses, step responses and variance decompositions of estimated linear dynamic models, Econometrica, 61, 857, 10.2307/2951765

Moench, E., Uhlig, H., 2004. Towards a business cycle chronology for the Euro area. Draft, Humboldt University, Berlin.

Mountford, A., Uhlig, H., 2002. What are the effects of fiscal policy shocks?. Draft, Humboldt University.

Rotemberg, 1994, Shocks, Carnegie-Rochester Conference Series on Public Policy, 41, 365, 10.1016/0167-2231(94)00025-5

Sims, C.A., 1972. Money, income and causality. American Economic Review.

Sims, 1980, Macroeconomics and reality, Econometrica, 48, 1, 10.2307/1912017

Sims, C.A., 1986. Are forecasting models usable for policy analysis. Minneapolis Federal Reserve Bank Quarterly Review Winter, 2–16.

Sims, 1992, Interpreting the macroeconomic time series facts, European Economic Review, 36, 975, 10.1016/0014-2921(92)90041-T

Sims, 1991, Understanding unit rooters, Econometrica, 59, 1591, 10.2307/2938280

Sims, 1998, Bayesian methods for dynamic multivariate models, International Economic Review, 39, 949, 10.2307/2527347

Sims, 1999, Error bands for impulse responses, Econometrica, 67, 1113, 10.1111/1468-0262.00071

Strongin, 1995, The identification of monetary policy disturbances, Journal of Monetary Economics, 35, 463, 10.1016/0304-3932(95)01197-V

Uhlig, 1994, What macroeconomists should know about unit roots, Econometric Theory, 10, 645, 10.1017/S0266466600008719

Uhlig, 1997, Bayesian vector autoregressions with stochastic volatility, Econometrica, 65, 59, 10.2307/2171813

Uhlig, 1998, The robustness of identified VAR conclusions about money. A comment, Carnegie-Rochester Series in Public Economics, 49, 245, 10.1016/S0167-2231(99)00010-X

Woodford, M., 1994. Nonstandard indicators for monetary policy: can their usefulness be judged from forecasting regressions?. In: Mankiw, N.G. (Ed.), Monetary Policy. NBER, Studies in Business Cycles, vol. 29. University of Chicago Press, Chicago, pp. 95–115.

Zellner, A., 1971. An Introduction to Bayesian Inference in Econometrics. Wiley, New York.