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Local Linear Impulse Responses for a Small Open Economy
Traditional vector autoregressions derive impulse responses using iterative techniques that may compound specification errors. Local projection techniques are more robust to this problem, and Monte Carlo evidence has suggested they provide reliable estimates of the true impulse responses. We use loc...
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| Published in: | Oxford bulletin of economics and statistics 2012-06, Vol.74 (3), p.470-492 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
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| cited_by | cdi_FETCH-LOGICAL-c4453-da56c7b1a3091d57185028cf3b48208dcd44c726f9ea628d51fca66f731cce393 |
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| cites | cdi_FETCH-LOGICAL-c4453-da56c7b1a3091d57185028cf3b48208dcd44c726f9ea628d51fca66f731cce393 |
| container_end_page | 492 |
| container_issue | 3 |
| container_start_page | 470 |
| container_title | Oxford bulletin of economics and statistics |
| container_volume | 74 |
| creator | Haug, Alfred A. Smith, Christie |
| description | Traditional vector autoregressions derive impulse responses using iterative techniques that may compound specification errors. Local projection techniques are more robust to this problem, and Monte Carlo evidence has suggested they provide reliable estimates of the true impulse responses. We use local linear projections to investigate the dynamic properties of a model for a small open economy, New Zealand. We compare impulse responses from projections to those from standard techniques, and consider the implications for monetary policy. We pay careful attention to the dimensionality of the model, and focus on effects of policy on gross domestic product, interest rates, prices and exchange rates. |
| doi_str_mv | 10.1111/j.1468-0084.2011.00643.x |
| format | article |
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| fulltext | fulltext |
| identifier | ISSN: 0305-9049 |
| ispartof | Oxford bulletin of economics and statistics, 2012-06, Vol.74 (3), p.470-492 |
| issn | 0305-9049 1468-0084 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1027675200 |
| source | EconLit s plnými texty; Wiley-Blackwell Journals; EBSCOhost Business Source Ultimate; International Bibliography of the Social Sciences (IBSS) |
| subjects | C51 E52 Economic models F41 Forecasts GDP Gross Domestic Product Impulse response functions Linear models Monetary policy Monte Carlo simulation New Zealand Open economies Regression analysis Studies Vector-autoregressive models |
| title | Local Linear Impulse Responses for a Small Open Economy |
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