Format:
1 Online-Ressource (circa 46 Seiten)
,
Illustrationen
ISBN:
9781484324752
Series Statement:
IMF working paper WP/16, 90
Content:
VAR methods suggest that the monetary transmission mechanism may be weak and unreliable in low-income countries (LICs). But are structural VARs identified via short-run restrictions capable of detecting a transmission mechanism when one exists, under research conditions typical of these countries? Using small DSGEs as data-generating processes, we assess the impact on VAR-based inference of short data samples, measurement error, high-frequency supply shocks, and other features of the LIC environment. The impact of these features on finite-sample bias appears to be relatively modest when identification is valid-a strong caveat, especially in LICs. However, many of these features undermine the precision of estimated impulse responses to monetary policy shocks, and cumulatively they suggest that 'insignificant' results can be expected even when the underlying transmission mechanism is strong
Additional Edition:
Erscheint auch als Druck-Ausgabe Li, Grace VAR meets DSGE: Uncovering the Monetary Transmission Mechanism in Low-Income Countries Washington, D.C. : International Monetary Fund, 2016 ISBN 9781484324752
Language:
English
Keywords:
Arbeitspapier
;
Graue Literatur
DOI:
10.5089/9781484324752.001
Author information:
Montiel, Peter 1951-