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اقتصاد::
شوک سیاست پولی، شوک سیاست پولی
To isolate the impact of conventional monetary policy shock on bank risk, from the potential influence of unconventional measures, we introduce a dummy UNC, which takes the value 1 from 2009Q1 to 2015Q4.
To test the impact of monetary policy shocks during the period of unconventional policy, we include an interaction between the dummy UNC and the monetary variable.
This implies that the impact of monetary policy shocks reverses when the effective Fed interest rate (the shadow Fed rate) is already below the Taylor rule.،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).
According to their study the initial response of price level to contractionary monetary policy shock is small, while interest rates respond by initially increasing, and in the case of the output, the initial reaction falls with a zero long-run effect.
The identification of monetary policy shock has therefore been at the centre of the VAR literature, particularly its direct and indirect effects (Gordon and Leeper, 1994).
When estimated in this form, the VAR model has a good potential to provide empirical evidence on the response of economic variables to monetary policy shocks (Christiano et al.
Whether a VAR model, SVAR model or VEC model is used, the economic interpretation of monetary policy shocks is not straightforward or clear.
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