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	Term Paper for Financial Econometrics VAR
	... In this paper I try to specify and estimate the monetary transmission mechanism (MTM) using the VAR approach. The models used are the Ў°identified VARЎ± used in Strongin (1995), Christiano, Eichenbaum and Evans (1996) and Leeper, Sims and Zha (1996). ... Data The data used in this paper are the monthly data on real GDP ( ), CPI ( ), commodity price ( ), M1, M2, 3-month T-bill rate ( ), total reserves ( ), nonborrowed reserves ( ) and borrowed reserves ( ). ... In all specifications there are six lags and a constant term in the system. ... Three-variables model This is the simplest type and starting point of VAR monetary policy identification model. ... Figures 1 and 2 show the impulse responses and forecasting error variance decomposition (FEVD) of the monthly VAR in real GDP, CPI and M2. ... It has been shown that inclusion of commodity prices in the VAR helps solve the price puzzle. Approximate Word count = 996 Approximate Pages = 4 (250 words per page double spaced)

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