Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/153020 
Year of Publication: 
2006
Series/Report no.: 
ECB Working Paper No. 586
Publisher: 
European Central Bank (ECB), Frankfurt a. M.
Abstract: 
We develop a technique for analyzing the response dynamics of economic variables to structural shocks in linear rational expectations models. Our work differs fromstandard SVARs since we allow expectations of future variables to enter structural equations. We show how to estimate the variance-covariance matrix of fundamental and non-fundamental shocks and we construct point estimates and confidence bounds for impulse response functions. Our technique can handle both determinate and indeterminate equilibria. We provide an application to U.S. monetary policy under pre and post Volcker monetary policy rules.
Subjects: 
Identification
indeterminacy
rational expectations models
JEL: 
C39
C62
D51
E52
E58
Document Type: 
Working Paper

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