Estimating the effects of monetary policy shocks: does lag structure matter?

Authors: Kim, Keuk-Soo1; McMillin, W. Douglas2

Source: Applied Economics, Volume 35, Number 13, 10 September 2003 , pp. 1515-1526(12)

Publisher: Routledge, part of the Taylor & Francis Group

Buy & download fulltext article:

OR

Price: $54.28 plus tax (Refund Policy)

Abstract:

This paper examines the implications of lag structure for estimating the effects of monetary policy shocks in a VAR. A symmetric lag structure in which all variables have the same lag length and an asymmetric lag structure in which the lag length differs across variables but is the same for a particular variable in each equation of the model are examined. This is important in light of the fact that the true lag structure is generally not known. Four commonly used identification schemes are employed to identify monetary policy shocks. Monte Carlo simulations strongly indicate that the lag structure of a VAR model does matter when assessing the quantitative effects of monetary policy shocks. Given the inherent uncertainty about the true lag structure in practice, it is thus important that one compare the impulse response functions from both symmetric lag and asymmetric lag VARs in assessing the effects of monetary policy shocks.

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/0003684032000090663

Affiliations: 1: Korea International Trade Association, 159-1, Sam-Sung Dong, Kang-Nam Gu, Seoul, Korea 2: Department of Economics, Louisiana State University, Baton Rouge, LA 70803-6306, USA

Publication date: September 10, 2003

More about this publication?
Related content

Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content

Text size:

A | A | A | A
Share this item with others: These icons link to social bookmarking sites where readers can share and discover new web pages. print icon Print this page