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4.2 explains the philosophy of econometric modelling approached for estimated models, and continues in discussion on the use of vector autoregressive models for investigating the impact of policy actions on macroeconomic variables in Section 4.3.
Traditional structural models focus on identifying the impact of policy actions on macroeconomic variables in a way that will achieve the desired target for a particular macroeconomic variable under the assumption of policy decisions being exogenous.
Therefore the main aim of VAR models is to provide empirical evidence of the response of macroeconomic variables to monetary policy shocks without theoretical restrictions in order to enable the potential endogenous behaviour of policy instruments (Favero, 2001).
The focus of VAR models on how the central banks should react to movements in macroeconomic variables, rather than investigating the optimal response of policy makers to developments in macroeconomic variables in order to achieve
A general response of macroeconomic variables to the contractionary monetary policy was introduced by Christiano et al
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