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DP2333 Monetary Policy Misspecification in VAR Models

Author(s): Fabio Canova , Joaquim Pivis Pina
Publication Date: December 1999
Keyword(s): General Equilibrium , identification , Monetary Policy , Structural VARs
JEL(s): C32 , C68 , E32 , E52
Programme Areas: International Macroeconomics
Link to this Page: www.cepr.org/pubs/dps/DP2333.asp


We examine the effects of extracting monetary policy disturbances with semi-structural and structural VARs, using data generated by a limited participation model under partial accommodative and feedback rules. We find that, in general, misspecification is substantial: short run coefficients often have wrong signs; impulse responses and variance decompositions give misleading representations of the dynamics. Explanations for the results and suggestions for macroeconomic practice are provided.

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