Faust(1998) VAR Shock isolation
Posted: Mon Jan 06, 2025 3:26 pm
faust_carnegie1998.zip is a replication of Faust(1998), "The Robustness of Identified VAR Conclusions About Money", Carnegie-Rochester Conference Series on Public Policy, vol 49, 207-244, the six variable model. This is aimed at bounding the amount of the variance in GDP that can be explained by a monetary policy shock, by maximizing the FEVD share of a shock across all shocks that satisfy a set of sign constraints that could reasonably be produced by a (contractionary) monetary policy shock.
Detailed Description
Detailed Description