A0373
Title: Towards empirical assessments of controlled cointegrated models
Authors: Guillaume Chevillon - ESSEC Business School (France)
Takamitsu Kurita - Kyoto Sangyo University (Japan) [presenting]
Abstract: The purpose is to examine stabilization policy and control theory within the framework of a cointegrated vector auto-regressive (VAR) model from the perspective of an applied econometrician. It is demonstrated that policy-generated observables can be effectively represented by a vector auto-regressive moving-average (VARMA) model subject to a structural VAR interpretation. This allows the econometrician to identify and assess the policy in an empirical context. A data-driven method is then presented to classify intermediate and final policy targets within the model framework. The practicality and effectiveness of the analysis are illustrated through an empirical study of New Zealand's monetary policy data.
