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    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
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International Finance Discussion Papers: Using Measures of Expectations to Identify the Effects of a Monetary Policy Shock

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

Brunner, Allan D.
United States Federal Reserve Board

Paperback

General Political Science

Publisher Price: $15.75

ISBN10: 1288734581
ISBN13: 9781288734580
Publisher: Bibliogov
Published: Feb 8 2013
Pages: 42
Weight: 0.21
Height: 0.09 Width: 7.44 Depth: 9.69
Language: English
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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