The Effects of Monetary Policy in the US. The Vector Error Correction Model (VECM) compared to the Structural Autoregressive Model (SVAR)

Research Paper (undergraduate) from the year 2017 in the subject Mathematics - Applied Mathematics, grade: 8.5, , course: Empirical Econometrics II, language: English, abstract: This paper investigates the effects of monetary policy in the US by comparing a system of equations – estimated from a VECM (vector error correction model) – to a SVAR (structural autoregressive) model. Vector error-correc...