Empirical Economics

, Volume 45, Issue 2, pp 831–844 | Cite as

Identification of monetary policy in SVAR models: a data-oriented perspective



In the literature using short-run timing restrictions to identify monetary policy shocks in vector-auto-regressions (VAR) there is a debate on whether (i) contemporaneous real activity and prices or (ii) only data typically observed with high frequency should be assumed to be in the information set of the central bank when the interest rate decision is taken. This paper applies graphical modeling theory, a data-based tool, in a small-scale VAR of the US economy to shed light on this issue. Results corroborate the second type of assumption.


Monetary policy SVAR Graphical modeling Identification 

JEL Classification

E43 E52 


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Copyright information

© Springer-Verlag 2012

Authors and Affiliations

  1. 1.Department of EconomicsUniversity of SalernoFiscianoItaly
  2. 2.School of Economics, Faculty of Business, Economics and LawUniversity of SurreySurreyUK

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