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

Brunner, Allan D

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

Inhaltsangabe

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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Verlag
BiblioBazaar, LLC
Erscheinungsdatum
2013
Sprache
Englisch
ISBN 10 
1288734581
ISBN 13 
9781288734580
Einband
Taschenbuch
Anzahl der Seiten
42
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