International Finance Discussion Papers: Using Measures of Expectations to Identify the Effects of a Monetary Policy Shock - Couverture souple

Brunner, Allan D

 
9781288734580: International Finance Discussion Papers: Using Measures of Expectations to Identify the Effects of a Monetary Policy Shock
Couverture souple
ISBN 10 : 1288734581 ISBN 13 : 9781288734580
Editeur : BiblioBazaar, LLC, 2013

Synopsis

This paper considers an alternative econometric approach to the VAR methodology for identifying and estimating the effects of monetary policy shocks. The alternative approach incorporates available measures of market participants' expectations of economic variables in order to calculate economic innovations to those variables. In general, expectations measures should provide important additional information relative to a standard VAR analysis, since market participants presumably use a much richer information set than that assumed in a typical VAR model. The resulting innovations are easily incorporated in a VAR-like framework.

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Éditeur
BiblioBazaar, LLC
Date d'édition
2013
Langue
anglais
ISBN 10 
1288734581
ISBN 13 
9781288734580
Reliure
Broché
Nombre de pages
42
Coordonnées du fabricant
non disponible
Personne responsable
non disponible