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VAR meets DSGE: Uncovering the Monetary Transmission Mechanism in Low-Income Countries

Abstract:

VAR methods suggest that the monetary transmission mechanism may be weak and unreliable in low-income countries (LICs). But are structural VARs identified via shortrun restrictions capable of detecting a transmission mechanism when one exists, under research conditions typical of these countries? Using small DSGEs as data-generating processes, we assess the impact on VAR-based inference of short data samples, measurement error, high-frequency supply shocks, and other features of the LIC envir...

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Publication status:
Published
Peer review status:
Reviewed (other)
Version:
Accepted manuscript

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Department:
Oxford, SSD, International Development
Role:
Author
Publisher:
International Monetary Fund Publisher's website
Journal:
IMF Working Papers Journal website
Chapter number:
16/90
Publication date:
2016-04-11
Acceptance date:
2016-04-01
ISSN:
1018-5941
Pubs id:
pubs:653380
URN:
uri:9e51e691-0fcf-4864-831a-c10705a043ac
UUID:
uuid:9e51e691-0fcf-4864-831a-c10705a043ac
Local pid:
pubs:653380
ISBN:
9781484324752

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