Arias, Jonas and Caldara, Dario and Rubio-Ramirez, Juan Francisco, The Systematic Component of Monetary Policy in SVARs: An Agnostic Identification Procedure (March 13, 2015). FRB International Finance Discussion Paper No. 1131. Available for download at SSRN: http://ssrn.com/abstract=2598244 “Following Leeper, Sims, and Zha (1996), we identify monetary policy shocks in SVARs by restricting the systematic component of monetary policy. In particular, we impose sign and zero restrictions only on the monetary policy equation. Since we do not restrict the response of output to a monetary policy shock, we are agnostic in Uhlig’s (2005) sense. But, in contrast to Uhlig (2005), our results support the conventional view that a monetary policy shock leads to a decline in output. Hence, our results show that the contractionary effects of monetary policy shocks do not hinge on questionable exclusion restrictions.”