Working Paper Series,
Sveriges Riksbank (Central Bank of Sweden)

Abstract: The interest in empirical studies of monetary policy has increased in the last decade. The deregulation of financial markets and the increased use of explicit policy rules and targets have made monetary policy more transparent and interesting for economic analysis. This paper demonstrates how a VAR model with long run restrictions justified by economic theory can be usefully applied in analyses of issues central to monetary policy: the effects of innovations in interest rates and other shocks; the short and long run relationships between prices and nominal and real exchange rates; the properties of an index of monetary conditions; dynamic forecasts of inflation; and the relation between inflation and the output gap

Keywords: Cointegration; Common stochastic trends; Monetary policy; Vector autoregressions

JEL-codes: C32; C52; C53; E31; E52

54 pages, February 1, 1999

Full text files

WP_77.pdf  

Download statistics

Published as

Tor Jacobson, Per Jansson, Anders Vredin and Anders Warne, (2001), 'A VAR Model for Monetary Policy Analysis in a Small Open Economy', Journal of Applied Econometrics, vol 16, no 4, pages 487-520

• Sveriges Riksbank (Central Bank of Sweden)
• Ordering Working Papers
• Home page for this series

Questions (including download problems) about the papers in this series should be directed to Lena Löfgren ()
Report other problems with accessing this service to Sune Karlsson ().

RePEc:hhs:rbnkwp:0077This page generated on 2024-09-13 22:16:56.