VAR Analysis and the Great Moderation
通过估计新凯恩斯模型，指出基于结构VAR的现有证据同样支持“好政策”假说，即美国大稳健时期的经济稳定主要源于货币政策改善，而非运气。
Most analyses of the US Great Moderation are based on structural VARs, and point toward good luck as the main explanation for the recent macroeconomic stability. Based on an estimated New-Keynesian model where the only source of change is the move from passive to active monetary policy, we show that (i) the theoretical VAR innovation variances for all series decrease across regimes; (ii) VAR-based counterfactuals assign a minor role to improved policy; and (iii) VAR impulse-response functions to a monetary shock exhibit little variation across regimes. Our analysis suggests that existing VAR evidence is also compatible with the “good policy” hypothesis.