I estimate impulse responses to a 100 basis point US monetary policy shock using setidentified structural vector autoregressions. Identified sets for these responses may be unbounded when the identifying restrictions admit zero impact response of the federal funds rate following a standard-deviation shock. Such a zero response is always admissible when there are fewer sign and zero restrictions than endogenous variables. This is the case under existing restrictions on the systematic component of monetary policy, which consequently yield uninformative identified sets. Additional sign and narrative restrictions yield informative identified sets and imply smaller output responses than some previous estimates.

impulse responses, monetary policy, robust Bayesian inference, set-identification, sign and zero restrictions
C32, E52
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© The Reserve Bank of Australia. This work has been produced by Reserve Bank of Australia staff in the course of their employment or engagement by the Reserve Bank of Australia. However, the views expressed in this version of the work do not necessarily represent the views of the Reserve Bank of Australia. The Reserve Bank of Australia does not give any warranty nor accept any liability in relation to the contents of this work.
2024
The Reserve Bank of Australia. This work has been produced by Reserve Bank of Australia staff in the course of their employment or engagement by the Reserve Bank of Australia. However, the views expressed in this version of the work do not necessarily represent the views of the Reserve Bank of Australia. The Reserve Bank of Australia does not give any warranty nor accept any liability in relation to the contents of this work.

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