The Effectiveness of Monetary Policy in the U.S.: An EViews Tutorial for SVAR

Quantitative and Applied Economics

Estimating Vector Autoregression Model with The U.S. Federal Funds Rate, Nominal Interest Rate, Exchange Rate and Industrial Production as Endogenous Variables

Based of the lectures of Dr. Rokon Bhuiyan, CSUF

Once you have the time series data for these variables you need to upload them into Eviews and follow these steps:


Figure1: Select Estimate VAR from the Quick Menu

Figure 2:  Here the ff-rate is the Federal Funds Rate, interest_rate is the Nominal Interest Rate, exchange_rate is the trade weighted Exchange Rate, and the ip is the Industrial Production Index for the United States

Figure 3:  The EViews estimates of the VAR model with 3 lags on every variable along with the coefficient estimation, standard error of the coefficient, and the t-statistic of the coefficient.

Choleski Decomposition of the Contemporaneous Effect Matrix and Estimation of Impulse Responses to Monetary Shocks

The limitations of the Choleski Decomposition is that once…

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