Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy*
采用Uhlig的符号约束识别方法，用结构VAR分析英国货币政策冲击的影响，发现货币政策冲击对宏观经济变量变动的贡献很小，而大部分变动源于对非货币需求、总供给和油价冲击的系统性反应。
Abstract This paper adapts Uhlig's [ Journal of Monetary Economics (2005) forthcoming] sign restriction identification methodology to investigate the effects of UK monetary policy using a structural vector autoregression (VAR). It shows that shocks which can reasonably be described as monetary policy shocks have played only a small role in the total variation of UK monetary and macroeconomic variables. Most of the variation in UK monetary variables has been due to their systematic reaction to other macroeconomic shocks, namely non‐monetary aggregate demand, aggregate supply, and oil price shocks. We also find, without imposing any long run identifying restrictions, that aggregate supply shocks have permanent effects on output.