Autoregressive vectors and the identification of monetary policy shocks in Argentina

In this paper we use Vector Autoregressions for the estimation of themacroeconomic effects of monetary policy in Argentina during the 1980´s and 1990´s. Special attention is given to problems associated with theidentification of monetary policy shocks due to potential omitted variablesbias, for whic...

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Bibliographic Details
Main Author: Utrera, Gastón
Format: Online
Language:spa
Published: Instituto de Economía y Finanzas. Facultad de Ciencias Económicas. Universidada Nacional de Córdoba. 2004
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Online Access:https://revistas.unc.edu.ar/index.php/REyE/article/view/3809
Description
Summary:In this paper we use Vector Autoregressions for the estimation of themacroeconomic effects of monetary policy in Argentina during the 1980´s and 1990´s. Special attention is given to problems associated with theidentification of monetary policy shocks due to potential omitted variablesbias, for which we propose a way to address this issue.Granger causality tests, impulse-response functions, variance decompositionsand simulated forecast errors show big structural differences between the1980's and 1990's. Nevertheless, there is evidence in both periods aboutpotential contractive effects of expansive monetary policies, in line withprevious results obtained using error correction models.