Identifying the Monetary Transmission Mechanism using Structural Breaks1
نویسندگان
چکیده
We estimate the dynamics of a three equation model of the monetary transmission mechanism using data from 1970:Q1 to 1999:Q4. We find a significant break in the parameters of an estimated VAR in 1979:Q3 when Volcker took over as chairman of the Fed. We estimate a quasi-reduced form in which we allow for expectations to enter the private sector equations. We identify the private sector using the assumption that these equations do not break at the time of the change in policy. We present impulse response functions identified by our identification scheme and compare them with more traditional approaches.
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