What Do the Vars Mean?: Measuring the Output Effects of Monetary Policy

24 Pages Posted: 6 Sep 2000 Last revised: 3 Aug 2022

See all articles by John H. Cochrane

John H. Cochrane

Hoover Institution; National Bureau of Economic Research (NBER)

Date Written: June 1995

Abstract

What are the relative effects of anticipated vs. unanticipated monetary policy? I examine the effect of this identifying assumption on VAR estimates of the output response to money, assuming that anticipated monetary policy can have some effect on output results in much shorter and smaller output response estimatesþestimates closer to the predictions of most monetary models.

Suggested Citation

Cochrane, John H., What Do the Vars Mean?: Measuring the Output Effects of Monetary Policy (June 1995). NBER Working Paper No. w5154, Available at SSRN: https://ssrn.com/abstract=225218

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