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Measuring the Effects of Real and Monetary Shocks in a Structural New-Keynesian Model

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  • Andreas Beyer
  • Roger E.A. Farmer

Abstract

We develop a technique for analyzing the dynamics of shocks in structural linear rational expectations models. Our work differs from standard SVARs since we allow expectations of future variables to enter structural equations. We show how to estimate the variance-covariance matrix of fundamental and non-fundamental shocks and we construct point estimates and confidence bounds for impulse response functions. Our technique can handle both determinate and indeterminate equilibria. We provide an application to U.S. monetary policy under pre and post Volcker monetary policy rules

Suggested Citation

  • Andreas Beyer & Roger E.A. Farmer, 2005. "Measuring the Effects of Real and Monetary Shocks in a Structural New-Keynesian Model," Computing in Economics and Finance 2005 172, Society for Computational Economics.
    • Handle: RePEc:sce:scecf5:172
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    References listed on IDEAS

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    More about this item

    Keywords

    Identification; indeterminacy; rational expectations models.;
    All these keywords.

    JEL classification:

    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies

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