Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/174545 
Year of Publication: 
2016
Series/Report no.: 
LEM Working Paper Series No. 2016/36
Publisher: 
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM), Pisa
Abstract: 
This study investigates the effects of a monetary policy shock on real output and prices, by means of a novel distribution-free nonrecursive identification scheme for structural vector autoregressions. Structural shocks are assumed to be mutually independent. The identification procedure is agnostic in Uhlig [2005]'s sense, since the response of output to a monetary shock is not restricted. Moreover, assuming mutual independence of the shocks allows us to impose no additional constraints derived from economic theory.
Subjects: 
Structural Models
Vector Autoregressions
Independent Component Analysis
Identification
Monetary Policy
JEL: 
C14
C18
C38
C51
E52
Document Type: 
Working Paper

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