On the Derivation of Monetary Policy Shocks: Should We Throw the VAR Out with the Bath Water?

@article{Brunner2000OnTD,
  title={On the Derivation of Monetary Policy Shocks: Should We Throw the VAR Out with the Bath Water?},
  author={Allan D. Brunner},
  journal={Journal of Money, Credit and Banking},
  year={2000},
  volume={32},
  pages={254-279}
}
This paper considers an alternative econometric approach to the standard VAR methodology for identifying and estimating the effects of monetary policy shocks. The alternative approach makes more reasonable assumptions about economic agents' information set by: 1) restructuring the VAR variables according to what data are actually observable in each point in time, and 2) augmenting the VAR model with available measures of market participants' expectations of various economic variables, thus… Expand
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