Autoregressive vectors and the identification of monetary policy shocks in Argentina

Authors

  • Gastón Utrera Universidad Nacional de Córdoba, Facultad de Ciencias Económicas, Instituto de Economía y Finanzas (Córdoba, Argentina)

DOI:

https://doi.org/10.55444/2451.7321.2004.v42.n2.3809

Keywords:

vector autoregressions, monetary policy, monetary policy shocks, Argentina

Abstract

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.

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Published

2004-12-01

How to Cite

Utrera, G. (2004). Autoregressive vectors and the identification of monetary policy shocks in Argentina. Revista De Economía Y Estadística, 42(2), 105–126. https://doi.org/10.55444/2451.7321.2004.v42.n2.3809

Issue

Vol. 42 No. 2 (2004)

Section

ARTÍCULOS

License

Copyright (c) 2004 Gastón Utrera

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