|
|
|
|
||||
|
||||
Identifying VARs Based on High Frequency Futures DataJon FaustBoard of Governors of the Federal Reserve - Division of International Finance; Johns Hopkins University Eric T. SwansonFederal Reserve Bank of San Francisco Jonathan H. WrightBoard of Governors of the Federal Reserve System - Trade and Financial Studies Section February 2002 FRB International Finance Discussion Paper No. 720 Abstract: Using the prices of federal funds futures contracts, we measure the impact of the surprise component of Federal Reserve policy decisions on the expected future trajectory of interest rates. We show how this information can be used to identify the effects of a monetary policy shock in a standard monetary policy VAR. This constitutes an alternative approach to identification that is quite different, and, we would argue, more plausible, than the conventional short-run restrictions. We find that the usual recursive identification of the model is rejected, but we nevertheless agree with the literature's conclusion that only a small fraction of the variance of output can be attributed to monetary policy shocks.
Number of Pages in PDF File: 44 Keywords: partial identification, monetary policy, vector autoregressions JEL Classification: C32, E50 working papers seriesDate posted: April 27, 2002Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo7 in 0.344 seconds
