The puzzling effects of monetary policy in VARs: Invalid identification or missing information?
研究了标准VAR中货币政策冲击效应令人困惑的原因，发现根本在于信息缺失而非识别方案无效，并验证了两种前沿方法在信息充分时结果一致。
Summary Standard vector autoregressions (VARs) often find puzzling effects of monetary policy shocks. Is this due to an invalid (recursive) identification scheme, or because the underlying small‐scale VAR neglects important information? I employ factor methods and external instruments to answer this question and provide evidence that the root cause is missing information. In particular, while a recursively identified dynamic factor model yields conventional monetary policy effects across the board, a small‐scale VAR identified via external instruments does not. Importantly, the discrepancy between both models largely disappears once the information set of the VAR is augmented via factors. This finding is comforting news for the recent monetary literature. Two leading empirical advances with different underlying assumptions—namely external instruments (applied to a factor‐augmented VAR) and dynamic factor models (identified recursively)—find very similar effects of monetary policy shocks, cross‐verifying each other.