蝌蚪网 Review
ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)
VAR Analysis and the Great Moderation
蝌蚪网 Review
vol. 99,
no. 4, September 2009
(pp. 1636–52)
Abstract
Most analyses of the US Great Moderation are based on structural VARs, and point toward good luck as the main explanation for the recent macroeconomic stability. Based on an estimated New-Keynesian model where the only source of change is the move from passive to active monetary policy, we show that (i) the theoretical VAR innovation variances for all series decrease across regimes; (ii) VAR-based counterfactuals assign a minor role to improved policy; and (iii) VAR impulse-response functions to a monetary shock exhibit little variation across regimes. Our analysis suggests that existing VAR evidence is also compatible with the "good policy" hypothesis. (JEL C32, C52, E13, E52, N12)Citation
Benati, Luca, and Paolo Surico. 2009. "VAR Analysis and the Great Moderation." 蝌蚪网 Review 99 (4): 1636–52. DOI: 10.1257/aer.99.4.1636Additional Materials
JEL Classification
- C32 Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions
- C52 Model Evaluation and Selection
- E13 General Aggregative Models: Neoclassical
- E52 Monetary Policy
- N12 Economic History: Macroeconomics; Growth and Fluctuations: U.S.; Canada: 1913-