Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5055577 | Economic Modelling | 2009 | 14 Pages |
Abstract
Good economic management depends on understanding shocks from monetary policy, fiscal policy and other sources affecting the economy and their subsequent interactions. This paper presents a new methodology to disentangle such shocks in a structural VAR framework. The method combines identification via sign restrictions, cointegration and traditional exclusion restrictions within a system which explicitly models stationary and non-stationary variables and accounts for both permanent and temporary shocks. The usefulness of the approach is demonstrated on a small open economy where policy makers are actively considering the interaction between monetary and fiscal policies.
Keywords
Related Topics
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Economics and Econometrics
Authors
Mardi Dungey, Renée Fry,