Title: Synthesizing structural evidence on the monetary and fiscal stance in the US: A Bayesian approach
Authors: Andreas Tryphonides - University of Cyprus (Cyprus) [presenting]
Abstract: The identification of policy regimes from macroeconomic data almost always relies on particular identifying assumptions. We instead synthesize evidence based on alternative assumptions or methodologies. We treat identified shocks using heterogeneous restrictions and other methodologies i.e. narrative schemes as imperfect observations on the true latent shocks. We illustrate how posterior estimates of the latent state update on new information where the latter depends on how credible the identifying restrictions are. Based on this methodology, we identify monetary and fiscal policy regimes in the United States. A by-product of the methodology is an MCMC algorithm for conducting joint quasi-Bayesian inference on reduced form and structural parameters, useful for limited information structural equations with unobservables and possibly time varying parameters.