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The identification of fiscal and monetary policy in a structural VAR

Dungey, Mardi; Fry, Renée


Good economic management depends on understanding shocks from monetary policy, fiscal policy and other sources affecting the economy and their subsequent interactions. This paper presents a new methodology to disentangle such shocks in a structural VAR framework. The method combines identification via sign restrictions, cointegration and traditional exclusion restrictions within a system which explicitly models stationary and non-stationary variables and accounts for both permanent and...[Show more]

CollectionsANU Research Publications
Date published: 2009-11
Type: Journal article
Source: Economic Modelling26.6 (2009):1147–1160
DOI: 10.1016/j.econmod.2009.05.001


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