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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| Format: | Online |
| Language: | spa |
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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 |
| _version_ | 1811172118527737856 |
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| author | Utrera, Gastón |
| author_facet | Utrera, Gastón |
| author_sort | Utrera, Gastón |
| collection | Portal de Revistas |
| description | 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. |
| format | Online |
| id | oai:ojs.revistas.unc.edu.ar:article-3809 |
| institution | Universidad Nacional de Cordoba |
| language | spa |
| publishDate | 2004 |
| publisher | Instituto de Economía y Finanzas. Facultad de Ciencias Económicas. Universidada Nacional de Córdoba. |
| record_format | ojs |
| spelling | oai:ojs.revistas.unc.edu.ar:article-38092022-04-06T23:17:54Z Autoregressive vectors and the identification of monetary policy shocks in Argentina Vectores autoregresivos e identificación de shocks de política monetaria en Argentina Utrera, Gastón vector autoregressions monetary policy monetary policy shocks Argentina vectores autoregresivos política monetaria shocks de política monetaria 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 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. En este trabajo se utilizan vectores autoregresivos para estimar el efecto macroeconómico de la política monetaria en Argentina durante las décadas de 1980 y 1990. Se presta especial atención a la dificultad para identificar shocks de política monetaria dados los sesgos producidos por omisión de variables y se sugiere una vía para solucionar este problema de identificación. Tests de causalidad de Granger, funciones impulso-respuesta, descomposiciones de varianzas y simulaciones de errores de pronóstico son concluyentes acerca de grandes diferencias estructurales entre ambas décadas. Sin embargo, en ambos casos surge evidencia acerca de posibles efectos contractivos de políticas monetarias expansivas. Instituto de Economía y Finanzas. Facultad de Ciencias Económicas. Universidada Nacional de Córdoba. 2004-12-01 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion application/pdf https://revistas.unc.edu.ar/index.php/REyE/article/view/3809 10.55444/2451.7321.2004.v42.n2.3809 Revista de Economía y Estadística; Vol. 42 No. 2 (2004); 105-126 Revista de Economía y Estadística; Vol. 42 Núm. 2 (2004); 105-126 2451-7321 0034-8066 10.55444/2451.7321.2004.v42.n2 spa https://revistas.unc.edu.ar/index.php/REyE/article/view/3809/5008 Derechos de autor 2004 Gastón Utrera http://creativecommons.org/licenses/by-nc-nd/4.0 |
| spellingShingle | vector autoregressions monetary policy monetary policy shocks Argentina vectores autoregresivos política monetaria shocks de política monetaria Argentina Utrera, Gastón Autoregressive vectors and the identification of monetary policy shocks in Argentina |
| title | Autoregressive vectors and the identification of monetary policy shocks in Argentina |
| title_alt | Vectores autoregresivos e identificación de shocks de política monetaria en Argentina |
| title_full | Autoregressive vectors and the identification of monetary policy shocks in Argentina |
| title_fullStr | Autoregressive vectors and the identification of monetary policy shocks in Argentina |
| title_full_unstemmed | Autoregressive vectors and the identification of monetary policy shocks in Argentina |
| title_short | Autoregressive vectors and the identification of monetary policy shocks in Argentina |
| title_sort | autoregressive vectors and the identification of monetary policy shocks in argentina |
| topic | vector autoregressions monetary policy monetary policy shocks Argentina vectores autoregresivos política monetaria shocks de política monetaria Argentina |
| topic_facet | vector autoregressions monetary policy monetary policy shocks Argentina vectores autoregresivos política monetaria shocks de política monetaria Argentina |
| url | https://revistas.unc.edu.ar/index.php/REyE/article/view/3809 |
| work_keys_str_mv | AT utreragaston autoregressivevectorsandtheidentificationofmonetarypolicyshocksinargentina AT utreragaston vectoresautoregresivoseidentificaciondeshocksdepoliticamonetariaenargentina |