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Findings support the second information-set assumption.",{"@graph":14,"@context":73},[15,34,56],{"@type":16,"itemListElement":17},"BreadcrumbList",[18,23,27,31],{"item":19,"name":20,"@type":21,"position":22},"https://docshare.wps.com","Home","ListItem",1,{"item":24,"name":25,"@type":21,"position":26},"https://docshare.wps.com/document/","Document",2,{"item":28,"name":29,"@type":21,"position":30},"https://docshare.wps.com/document/research-report/","Research & Report",3,{"item":32,"name":10,"@type":21,"position":33},"https://docshare.wps.com/document/identification-of-monetary-policy-in-svar-models-a-data-oriented-perspective/455672/",4,{"url":32,"name":10,"@type":35,"image":36,"author":41,"headline":10,"publisher":44,"fileFormat":47,"inLanguage":8,"description":12,"dateModified":48,"datePublished":49,"encodingFormat":47,"isAccessibleForFree":50,"interactionStatistic":51},"DigitalDocument",{"url":37,"@type":38,"width":39,"height":40},"https://docshare.wps.com/thumbnails/identification-of-monetary-policy-in-svar-models-a-data-oriented-perspective/455672.png","ImageObject",300,407,{"name":42,"@type":43},"Pentious","Person",{"url":19,"name":45,"@type":46},"DocShare","Organization","application/pdf","2026-10-08","2026-09-30",true,{"@type":52,"interactionType":53,"userInteractionCount":55},"InteractionCounter",{"@type":54},"ViewAction",5,{"@type":57,"mainEntity":58},"FAQPage",[59,65,69],{"name":60,"@type":61,"acceptedAnswer":62},"What identification debate does the paper address in SVAR monetary policy analysis?","Question",{"text":63,"@type":64},"It addresses whether contemporaneous real activity and prices or only high-frequency observed variables should be assumed in the central bank’s information set when the interest rate decision is made.","Answer",{"name":66,"@type":61,"acceptedAnswer":67},"How does the paper investigate the issue empirically?",{"text":68,"@type":64},"It applies graphical modelling theory to a small-scale SVAR of the US economy.",{"name":70,"@type":61,"acceptedAnswer":71},"Which information-set assumption do the results support?",{"text":72,"@type":64},"The results corroborate the assumption that only the high-frequency type of variables belong to the central bank’s information set.","https://schema.org",{"og:url":32,"og:type":75,"og:title":10,"og:site_name":45,"og:description":12},"article",{"robots":77,"canonical":32},"index,follow",{"doc_id":79,"site_id":7},455672,1790974875,{"code":4,"msg":82,"data":83},"success",[84,88,92,96,100,105,110,114,119,122,126],{"id":22,"doc_module":4,"doc_module_name":25,"category_name":85,"show_sort_weight":86,"slug":87},"Story & Novel",90,"story-novel",{"id":26,"doc_module":4,"doc_module_name":25,"category_name":89,"show_sort_weight":90,"slug":91},"Literature",80,"literature",{"id":33,"doc_module":4,"doc_module_name":25,"category_name":93,"show_sort_weight":94,"slug":95},"Exam",70,"exam",{"id":55,"doc_module":4,"doc_module_name":25,"category_name":97,"show_sort_weight":98,"slug":99},"Comic",60,"comic",{"id":101,"doc_module":4,"doc_module_name":25,"category_name":102,"show_sort_weight":103,"slug":104},6,"Technology",50,"technology",{"id":106,"doc_module":4,"doc_module_name":25,"category_name":107,"show_sort_weight":108,"slug":109},7,"Healthcare",40,"healthcare",{"id":111,"doc_module":4,"doc_module_name":25,"category_name":29,"show_sort_weight":112,"slug":113},8,30,"research-report",{"id":115,"doc_module":4,"doc_module_name":25,"category_name":116,"show_sort_weight":117,"slug":118},9,"Religion & Spirituality",20,"religion-spirituality",{"id":117,"doc_module":4,"doc_module_name":25,"category_name":120,"show_sort_weight":117,"slug":121},"World Cup","world-cup",{"id":123,"doc_module":4,"doc_module_name":25,"category_name":124,"show_sort_weight":123,"slug":125},10,"Lifestyle","lifestyle",{"id":127,"doc_module":4,"doc_module_name":25,"category_name":128,"show_sort_weight":55,"slug":129},19,"General","general",{"code":4,"msg":82,"data":131},{"doc_id":79,"user_id":132,"nickname":42,"user_avatar":133,"doc_module":4,"category_id":111,"category_name":29,"doc_title":10,"doc_description":12,"doc_content":134,"file_id":135,"file_url":136,"file_type":137,"file_size":138,"view_count":55,"is_deleted":4,"is_public":22,"is_downloadable":22,"audit_status":22,"page_count":117,"language":139,"language_code":8,"site_id":7,"html_lang":8,"table_of_contents":140,"faqs":141,"seo_title":142,"seo_description":12,"update_tm":143,"read_time":103},1374404730887,"https://ap-avatar.wpscdn.com/davatar_6f874abed73319feea01a86fa6f0fab8","City Research Online  \nCity St George’s, University of London  \nCitation: Fragetta, M. & Melina, G. (2013) . Identification of monetary policy in SVAR models: A data-oriented perspective. Empirical Economics, 45(2), pp. 831-  \n844. doi: 10.1007/s00181-012-0632-y  \nThis is the unspecified version of the paper.  \nThis version of the publication may differ from the final published version. To cite this item please consult the publisher's version.  \nPermanent repository link: [https://openaccess.city.ac.uk/id/eprint/3774/](https://openaccess.city.ac.uk/id/eprint/3774/)  \nLink to published version: [https://doi.org/10.1007/s00181-012-0632-y](https://doi.org/10.1007/s00181-012-0632-y)  \n[Copyright and Reuse:](Copyright and Reuse: Copyright and Moral Rights remain with the author)[ Copyright and Moral Rights remain with the author](Copyright and Reuse: Copyright and Moral Rights remain with the author)([s](s)) and/or copyright holders. Copies of full items can be used for personal research or study, educational, or not-for-profit purposes without prior permission or charge, unless otherwise indicated, provided that the authors, title and full bibliographic details are credited, a hyperlink and/or URL is given for the original metadata page and the content is not changed in any way. For full details of reuse please refer to City Research Online policy.  \nCity Research Online:  [http://openaccess.city.ac.uk/](http://openaccess.city.ac.uk/  publications@citystgeorges.ac.uk)[ ](http://openaccess.city.ac.uk/  publications@citystgeorges.ac.uk)[ publications@citystgeorges.ac.uk](http://openaccess.city.ac.uk/  publications@citystgeorges.ac.uk)  \nIdenti􀀜cation of Monetary Policy in SVAR Models: A  \nData-Oriented Perspective  \nMatteo Fragettaa and Giovanni Melina∗b,c  \na University of Salerno, Italy  \nb Birkbeck, University of London, UK  \nc University of Surrey, UK  \nFirst version: 29th September 2011  \nThis version: 9th May 2012  \nAbstract  \nIn the literature using short-run timing restrictions to identify monetary policy shocksin vector-autoregressions (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 modelling theory, a data-based tool, in a small-scale VAR of the US economy to shed light on this issue. Results corroborate the second typeof assumption.  \nKeywords: Monetary policy; SVAR; Graphical modelling.  \nJEL Codes: E43; E52 .  \n􀀃 Corresponding author. Tel: +44 (0) 1483 689924; Fax: +44 (0) 1483 689 548 .  \nE-mail [addresses:](addresses: mfragetta@unisa.it)[ mfragetta@unisa.it](addresses: mfragetta@unisa.it) (Matteo Fragetta), [g.melina@surrey.ac.uk](g.melina@surrey.ac.uk) (Giovanni Melina).  \n1 Introduction  \nVector-autoregressions (VARs) are a widely used tool to provide stylized facts about responses of macroeconomic variables to structural shocks. These facts are useful per se and also serve as guidelines in evaluating or calibrating theoretical business cycle models. The literature employing VARs to identify and estimate the e􀀛ects of monetary policy shocks using shortrun timing restrictions tipically distinguish among three sets of variables: (i) the information set, i.e. the set of variables known to the monetary authorities when the policy decision is taken; (ii) the policy instrument; (iii) the set of variables the value of which is known only after the policy is set. Such a distinction often suggests a block-recursive structure exploitable in identifying the VAR. Most of the existing empirical papers in the 􀀜eld can be classi􀀜ed into two broad groups, which di􀀛er in the content of the information set of the monetary authority.  \nThe 􀀜rst group of papers, that can be thought of following a 􀀐workhorse􀀑 approach, include, among many others, Christiano and Eichenbaum (1992), Christiano et al. (1996) as well a","cbCaibK3hdP9slw1","https://ap.wps.com/l/cbCaibK3hdP9slw1","pdf",434744,"English","# Abstract\n# Keywords\n# JEL Codes\n# 1 Introduction\n## Information sets and timing restrictions\n## Workhorse approach\n## Alternative approach","[{\"question\":\"What identification debate does the paper address in SVAR monetary policy analysis?\",\"answer\":\"It addresses whether contemporaneous real activity and prices or only high-frequency observed variables should be assumed in the central bank’s information set when the interest rate decision is made.\"},{\"question\":\"How does the paper investigate the issue empirically?\",\"answer\":\"It applies graphical modelling theory to a small-scale SVAR of the US economy.\"},{\"question\":\"Which information-set assumption do the results support?\",\"answer\":\"The results corroborate the assumption that only the high-frequency type of variables belong to the central bank’s information set.\"}]","Identification of Monetary Policy in SVAR Models - A Data-Oriented Perspective | PDF",1790743837]