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Cú sốc chính sách tiền tệ và các VAR Cholesky: một đánh giá cho khu vực Euro
Tóm tắt
Một VAR chính sách tiền tệ ước tính với dữ liệu Euro từ quý IV năm 1993 đến quý III năm 2008 cho thấy phản ứng không đáng kể của lạm phát và phản ứng gần như có ý nghĩa của chênh lệch sản lượng trước các cú sốc chính sách tiền tệ được xác định bằng các hạn chế Cholesky thường được sử dụng. Chúng tôi đã tái tạo bằng chứng này bằng một bài kiểm tra Monte Carlo, trong đó phản ứng thực sự của lạm phát và chênh lệch sản lượng, theo một mô hình DSGE ước tính mà chúng tôi sử dụng làm quá trình phát sinh dữ liệu, là âm. Do đó, những phản ứng kinh tế vĩ mô không đáng kể đối với các cú sốc chính sách như đã được tài liệu hóa bởi một VAR Cholesky quy mô nhỏ cho khu vực Euro không nhất thiết chỉ ra sự trung lập của chính sách tiền tệ. Ngược lại, bằng chứng từ VAR Cholesky có thể hoàn toàn do các hạn chế bằng không trong ngắn hạn không chính xác. Một cuộc thảo luận dựa trên dữ liệu về cách hiểu những yếu tố tác động đến phản ứng cú sốc của VAR Cholesky của chúng tôi so với các diễn giải thay thế như thiếu yếu tố và ngắt quãng cấu trúc cũng được đề xuất.
Từ khóa
#chính sách tiền tệ; cú sốc chính sách; VAR Cholesky; khu vực Euro; mô hình DSGETài liệu tham khảo
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