Research Discussion Paper – RDP 2022-09 Estimating the Effects of Monetary Policy in Australia Using Sign-restricted Structural Vector Autoregressions

Contents

• Introduction
• Framework
• Estimates under Different Sets of Sign Restrictions
• The Effects of a 100 Basis Point Monetary Policy Shock
• Robustness Exercises
• Conclusion
• Appendix A: Algorithms for Inference
• Appendix B: Data
• References

I thank Alexander Ballantyne, Benjamin Beckers, Anthony Brassil, Efrem Castelnuovo, Thomas Cusbert, Luci Ellis, Jonathan Hambur, Jarkko Jääskelä, John Simon and Brian Tran for helpful feedback. I also thank Shayan Omidi for providing estimates from the MARTIN model. The views expressed in this paper are my own and do not necessarily reflect the views of the Reserve Bank of Australia. I am solely responsible for any errors.