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metadata language: English

Monetary Policy Innovation Paradox in VARs: A Discrete Explanation

Version
v1
Resource Type
Dataset : survey data
Creator
  • Dueker, Michael J. (Federal Reserve Bank of St. Louis)
Other Title
  • Version 1 (Subtitle)
Publication Date
2002-08-13
Language
English
Free Keywords
monetary policy
Description
  • Abstract

    Monetary policy shocks derived from VARs often suggest that monetary policymakers regularly react to an unexpected increase that they induced in the federal funds rate with additional increases. This puzzling pattern can be called the "policy innovation paradox" because there is no obvious explanation for such a pattern. This article shows that the policy innovation paradox is most likely the artifact of failing to account for the discreteness of changes that policymakers make to the target federal funds rate. Misspecified VARs that fail to account for discrete target changes imply the policy innovation paradox, whereas a model that uses information from discrete policy changes does not.
  • Table of Contents

    Datasets:

    • DS1: Dataset
Geographic Coverage
  • United States
Collection Mode
  • The submitted zip file opens to the data and program files. These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.

Availability
Download
This study is freely available to the general public via web download.
Alternative Identifiers
  • 1262 (Type: ICPSR Study Number)

Update Metadata: 2015-08-05 | Issue Number: 6 | Registration Date: 2015-06-15

Dueker, Michael J. (2002): Monetary Policy Innovation Paradox in VARs: A Discrete Explanation. Version 1. Version: v1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/ICPSR01262.v1