NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

What do the VARs Mean?: Measuring the Output Effects of Monetary Policy

John H. Cochrane

NBER Working Paper No. 5154
Issued in June 1995
NBER Program(s):   EFG   ME

What are the relative effects of anticipated vs. unanticipated monetary policy? I examine the effect of this identifying assumption on VAR estimates of the output response to money, assuming that anticipated monetary policy can have some effect on output results in much shorter and smaller output response estimates├żestimates closer to the predictions of most monetary models.

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Published: Journal of Monetary Economics, Vol. 41, no. 2 (April 1998): 277-300.

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