Do Measures of Monetary Policy in a Var Make Sense?
质疑VAR中常用的货币政策冲击识别方法，指出联邦基金利率回归残差结构脆弱，与美联储反应函数及其他证据不符，且与前瞻性金融市场推导的冲击相关性低。
No. In many VARs, monetary policy shocks are identified with the least squares residuals from a regression of the federal funds rate on an assortment of variables. Such regressions appear to be structurally fragile and are at odds with other evidence on the nature of the Fed's reaction function; furthermore, the residuals from these regressions have little correlation with funds rate shocks that are derived from forward-looking financial markets.