Identifying VARs based on high frequency futures data
Jon Faust, Eric Swanson, Jonathan H. Wright, Board of Governors of the Federal Reserve System (U.S.)
Board of Governors of the Federal Reserve System, 2002 - Business & Economics - 44 pages
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25 basis point account of uncertainty Bonferroni inequality bootstrap coefficient conclusions confidence set contemporaneous effect effect on output effects of monetary efficient forecasts Eric Swanson fed funds futures federal funds rate Federal Reserve System Finance Discussion Papers FOMC days FOMC meeting FOMC-day change forecast error variance funds futures market funds rate futures futures contracts GDP Deflator identified VAR literature identifying assumptions impact effect imposing impulse response industrial production interest rates intermeeting changes International Finance Discussion Jonathan H lower upper lower macroeconomic indicator measure the surprise monetary policy shock months ahead null hypothesis output and prices output due partial identification plausible point estimates policy announcement rank condition rank deficiency reduced form parameters regressions response of prices robustness share of output standard deviation shock structural shock surprise change Table target change target rate surprise target surprise upper lower upper variables variance of output variation in monetary vector weak identification Wright zero