Autori: Johansen, Soren , Juselius, Katarina
Titolo: Controlling inflation in a cointegrated vector autoregressive model with a application to US data
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2001 - Fascicolo: 2 - Pagina iniziale: 1 - Pagina finale: 50

The notion of instrument, intermediate target and final target are dined in the context of the cointegrated VAR. A target variable is said to be controllable if it can be made stationary around a desired target value by using the instrument. This can be expressed as a condition to the long-run impact matrix. Applying a control rule to intervene in the market changes the dynamics of the process and the properties of the new controlled process have to be derived. The theoretical results are applied to US monetary data on a daily and monthly basis. The empirical results do not provide support for the widely held belief that the Federal Reserve Bank can bring US CPI inflation down by increasing the federal funds rate.


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