When Multiple Objectives Meet Multiple Instruments: Identifying Simultaneous Monetary Shocks

Publicado en

  • International Review of Economics & Finance

Resumen

  • Central bank intervention typically entails the use of multiple and possibly non-linear policies. In this paper we introduce a dynamic Tobit model embedded in a Vector Autoregression in order to identify simultaneous monetary shocks. Our method is easily estimated using only least squares and a maximum likelihood function. Also, impulse-responses are carried out as in the traditional time-series setting and can be applied in a structural framework. In simulation exercises we show that, as policy covariance grows, our method increasingly outperforms a benchmark case of estimating policy functions separately. We find significant differences when estimating our method in emerging market economies.

fecha de publicación

  • 2018

Identificador de objeto digital (DOI)

  • https://doi.org/10.1016/j.iref.2018.03.001

Página inicial

  • 78

Última página

  • 101

Volumen

  • 58

Issue

  • C