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Pham The Anh, 2007. "Nominal Rigidities and The Real Effects of Monetary Policy in a Structural VAR Model."
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| Abstract: |
| The paper proposes an empirical VAR for the UK open economy in order to measure the effects of monetary
policy shocks from 1981 to 2003. The identification of the VAR structure is based on short-run restrictions that
are consistent with the general implications of a New Keynesian model. The identification scheme used in the
paper is successful in identifying monetary policy shocks and solving the puzzles and anomalies regarding the
effects of monetary policy shocks. The estimated dynamic impulse responses and the forecast error variance
decompositions show a consistency with the New Keynesian approach and other available theories. |
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