The Robustness of Identified VAR Conclusions About Money

50 Pages Posted: 16 May 1998

See all articles by Jon Faust

Jon Faust

Board of Governors of the Federal Reserve - Division of International Finance; Johns Hopkins University

Date Written: April 1998

Abstract

This paper presents a new way to assess robustness of claims from identified VAR work. All possible identifications are checked for the one that is worst for the claim, subject to the restriction that the VAR produce reasonable impulse responses to shocks. The statistic on which the claim is based need not be identified; thus, one can assess claims in large models using minimal restrictions. The technique reveals only weak support for the claim that monetary policy shocks contribute a small portion of the forecast error variance of post-War U.S. output in standard 6-variable and 13-variable models.

JEL Classification: C50, E52

Suggested Citation

Faust, Jon, The Robustness of Identified VAR Conclusions About Money (April 1998). Available at SSRN: https://ssrn.com/abstract=86751 or http://dx.doi.org/10.2139/ssrn.86751

Jon Faust (Contact Author)

Board of Governors of the Federal Reserve - Division of International Finance ( email )

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Washington, DC 20551
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202-452-2328 (Phone)
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Johns Hopkins University

Baltimore, MD 20036-1984
United States

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