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An Interest Rate Benumbed: Evidence from a structural VAR; can a structural break be found in recent monetary policy transmission?
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Economics.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The reliability of monetary policy as an economic stabilisation tool depends on the understanding of the empirical effects of policy intervention on macroeconomic aggregates. Since investigating the interdependencies between macroeconomic variables necessarily involves studying their interactions over time, time series analysis is an important tool. This thesis sets out to examine the presence and effects of nonstationarity in the form of a structural break in a basic VAR of four endogenous variables. Specifically, the transmission of a monetary policy shock on the macroeconomic aggregate of 11 Euro Area countries is estimated for the period 1999–2017, employing variables based on previous studies. A Quandt-Andrews breakpoint test is used to identify the break date, and a comparison is made between the periods. This study finds support for the presence of a break in the regression estimate from the breakpoint test, although the reults from the IRFs cannot be shown to be statistically significant, nor to be bias-free.

Place, publisher, year, edition, pages
2019. , p. 39
Keywords [en]
monetary policy, vector autoregression, SVAR, nonstationarity, structural break
National Category
Economics
Identifiers
URN: urn:nbn:se:uu:diva-376792OAI: oai:DiVA.org:uu-376792DiVA, id: diva2:1287367
Subject / course
Economics
Educational program
Freestanding course
Supervisors
Examiners
Available from: 2019-02-11 Created: 2019-02-11 Last updated: 2019-02-14Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf