The Structural VAR Model at Work: Analyzing Monetary Policy
In today’s blog, we put the building blocks of the structural vector autoregressive (SVAR) model to work in a practical application. We’ll use one of the most common applications of SVAR models, monetary policy analysis, to see the SVAR in action. After this blog, you should have a stronger understanding of:Tagged in
- How to use Granger causality testing to inform model selection.
- How to implement short-run identification restrictions.
- How to conduct and interpret structural VAR analysis.