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文章基本信息

  • 标题:A note on potential one-way policy instruments in cointegrated VAR systems
  • 作者:Takamitsu Kurita
  • 期刊名称:Economic Analysis and Policy
  • 印刷版ISSN:0313-5926
  • 出版年度:2018
  • 卷号:58
  • 页码:55-59
  • DOI:10.1016/j.eap.2017.12.004
  • 出版社:Elsevier B.V.
  • 摘要:

    This note introduces the concept of potential one-way policy instruments in a cointegrated vector autoregressive (VAR) system in a manner validating super and strong exogeneity. Monte Carlo experiments are conducted to verify arguments for a policy-oriented interpretation of the system’s impact-matrix. This study provides useful insight into simulation exercises for macroeconomic policy.

  • 关键词:Super and strong exogeneity ; Cointegrated vector autoregressive models ; Control theory ; Policy instruments
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