Stima dell'Effetto della Forward Guidance nell'Area Euro: il ruolo degli annunci

In this thesis, I analyze the econometric implications of the inclusion of news shocks in DSGE models for their validation through Structural Vector Autoregressive Models. I present a baseline New-Keynesian DSGE model and show the conditions for the existence of a mapping with VARs. I test the theoretical implications by performing Montecarlo Simulations and propose two methodologies that solve the problem. Finally I use an empirical application to the effect of Forward Guidance in the Euro Area that is justified theoretically by one of the two solutions proposed.