Listado

La Facultad de Ciencias Económicas y el Departamento de Economía, invitan a este espacio en el que se busca proyectar la investigación a través de la participación de invitados especiales que se destacan en el sector.

A novel method for the joint estimation and identification of conventional and anticipated monetary policy shocks is introduced. The presence of an anticipated shock, such as forward guidance, renders the model dynamics noninvertible and invalidates the traditional SVAR based methods. To address this issue, invertibility-robust identification methods have gained popularity recently. Contrary to the current standard practice, we highlight that the proposed identification strategy based on noninvertible structural VARMA models does not require external information, such as instruments for the monetary policy shock. Instead, non-Gaussianity of the error process is necessary to distinguish between invertible and noninvertible models, with this assumption solving also the standard structural identification problem. The main findings are: First, when purged from the anticipation component, the effects of a conventional monetary policy shock are less pronounced. Second, the anticipated monetary policy shock is shown to have large effects on the real activity in line with the current literature. These results lend support to the conclusion that unconventional monetary policies are effective in stimulating the economy. Robustness to alternative empirical specifications and sample spans is checked with the main conclusions remaining unchanged.

Fecha

Miércoles 5 de octubre a las 10:00 a. m. en el Aula 13-326.

Organizan e invitan:

• Departamento de Economía
• Facultad de Ciencias Económicas UdeA

Dirigido a:

• Profesores
• Estudiantes
• Investigadores
• Hacedores de política 
• Público general

Conferencista invitado

Juho Koistinen

Estudiante PhD en Economía, Universidad de Helsinki (Finlandia)