02117cas a2200277 a 4500 AALejournalIMF016761 230101c9999 xx r poo 0 0eng d 5.00 USD 9781484324752 1018-5941 BD-DhAAL BD-DhAAL Li, Bin Grace. VAR meets DSGE : Uncovering the Monetary Transmission Mechanism in Low-Income Countries / Bin Grace Li, Stephen O'Connell, Christopher Adam, Andrew Berg. Washington, D.C. : International Monetary Fund, 2016. 1 online resource (45 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students VAR methods suggest that the monetary transmission mechanism may be weak and unreliable in low-income countries (LICs). But are structural VARs identified via short-run restrictions capable of detecting a transmission mechanism when one exists, under research conditions typical of these countries? Using small DSGEs as data-generating processes, we assess the impact on VAR-based inference of short data samples, measurement error, high-frequency supply shocks, and other features of the LIC environment. The impact of these features on finite-sample bias appears to be relatively modest when identification is valid-a strong caveat, especially in LICs. However, many of these features undermine the precision of estimated impulse responses to monetary policy shocks, and cumulatively they suggest that 'insignificant' results can be expected even when the underlying transmission mechanism is strong. Mode of access: Internet Adam, Christopher. Berg, Andrew. O'Connell, Stephen. IMF Working Papers; Working Paper ; No. 2016/090 Full text available on IMF http://elibrary.imf.org/view/journals/001/2016/090/001.2016.issue-090-en.xml IMF e-Library