VAR Analysis and the Great Moderation

Luca Benati, Paolo Surico
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引用次数: 337

Abstract

Most analyses of the US Great Moderation are based on structural VARs, and point toward good luck as the main explanation for the recent macroeconomic stability. Based on an estimated New-Keynesian model where the only source of change is the move from passive to active monetary policy, we show that (i) the theoretical VAR innovation variances for all series decrease across regimes; (ii) VAR-based counterfactuals assign a minor role to improved policy; and (iii) VAR impulse-response functions to a monetary shock exhibit little variation across regimes. Our analysis suggests that existing VAR evidence is also compatible with the "good policy" hypothesis. (JEL C32, C52, E13, E52, N12)
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VAR分析与大缓和
对美国“大缓和”(Great Moderation)的大多数分析都基于结构性var,并指出好运是近期宏观经济稳定的主要原因。基于一个估计的新凯恩斯模型,其中唯一的变化来源是从被动货币政策到主动货币政策的转变,我们表明:(i)所有系列的理论VAR创新方差在制度中减小;基于var的反事实对改进政策的作用不大;(iii) VAR对货币冲击的脉冲响应函数在不同制度下变化不大。我们的分析表明,现有的VAR证据也符合“好政策”假设。(jel c32, c52, e13, e52, n12)
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